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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2023-09-01
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| Series: | Electronic Research Archive |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/era.2023323?viewType=HTML |