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Article: Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps

TitleRobust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
Authors
Li, DZeng, YYang, H
Keywordsambiguity-averse insurer
excess-of-loss reinsurance and investment
jump-diffusion model
Robust optimal control
utility maximization
Issue Date2018
PublisherTaylor & Francis Scandinavia. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03461238.asp
Citation
Scandinavian Actuarial Journal, 2018, v. 2018 n. 2, p. 145-171 How to Cite?
DOI: http://dx.doi.org/10.1080/03461238.2017.1309679
Persistent Identifierhttp://hdl.handle.net/10722/260588
ISSN
0346-1238
2021 Impact Factor: 1.782
2020 SCImago Journal Rankings: 1.061
ISI Accession Number ID
WOS:000423878900004

 

DC FieldValueLanguage
dc.contributor.authorLi, D-
dc.contributor.authorZeng, Y-
dc.contributor.authorYang, H-
dc.date.accessioned2018-09-14T08:44:08Z-
dc.date.available2018-09-14T08:44:08Z-
dc.date.issued2018-
dc.identifier.citationScandinavian Actuarial Journal, 2018, v. 2018 n. 2, p. 145-171-
dc.identifier.issn0346-1238-
dc.identifier.urihttp://hdl.handle.net/10722/260588-
dc.languageeng-
dc.publisherTaylor & Francis Scandinavia. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03461238.asp-
dc.relation.ispartofScandinavian Actuarial Journal-
dc.rightsThis is an electronic version of an article published in Scandinavian Actuarial Journal, 2018, v. 2018 n. 2, p. 145-171. Scandinavian Actuarial Journal is available online at: https://www.tandfonline.com/doi/full/10.1080/03461238.2017.1309679-
dc.subjectambiguity-averse insurer-
dc.subjectexcess-of-loss reinsurance and investment-
dc.subjectjump-diffusion model-
dc.subjectRobust optimal control-
dc.subjectutility maximization-
dc.titleRobust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps-
dc.typeArticle-
dc.identifier.emailYang, H: hlyang@hku.hk-
dc.identifier.authorityYang, H=rp00826-
dc.description.naturepostprint-
dc.identifier.doi10.1080/03461238.2017.1309679-
dc.identifier.scopuseid_2-s2.0-85017138671-
dc.identifier.hkuros290886-
dc.identifier.volume2018-
dc.identifier.issue2-
dc.identifier.spage145-
dc.identifier.epage171-
dc.identifier.isiWOS:000423878900004-
dc.publisher.placeSweden-
dc.identifier.issnl0346-1238-

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