Robust equilibrium reinsurance and investment strategy for the insurer and reinsurer under weighted mean-variance criterion

Robust equilibrium reinsurance and investment strategy for the insurer and reinsurer under weighted mean-variance criterion

This paper investigates the time-consistent robust optimal reinsurance problem for the insurer and reinsurer under weighted objective criteria. The joint objective criterion is obtained by weighting the mean-variance objectives of both the insurer and reinsurer. Specifically, we assume that the net...

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Bibliographic Details
Main Authors: Yiming Su, Haiyan Liu, Mi Chen
Format: Article
Language:English
Published: AIMS Press 2023-09-01
Series:Electronic Research Archive
Subjects:
the insurer and reinsurer
loss-dependent premium principle
constant elasticity of variance model
weighted mean-variance criterion
ambiguity aversion
Online Access:https://www.aimspress.com/article/doi/10.3934/era.2023323?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/era.2023323?viewType=HTML

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