Optimal reinsurance to minimize the discounted probability of ruin under ambiguity

von Li, Danping
Veröffentlicht in Insurance / Mathematics & economics (2019)

Stackelberg differential game for reinsurance : mean-variance framework and random horizon

von Li, Danping
Veröffentlicht in Insurance / Mathematics & economics (2022)

Bowley solution of a mean-variance game in insurance

von Li, Danping
Veröffentlicht in Insurance / Mathematics & economics (2021)

Dynamic trading with uncertain exit time and transaction costs in a general Markov market

von Yao, Haixiang
Veröffentlicht in International review of financial analysis (2022)

Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps

von Zeng, Yan
Veröffentlicht in Insurance / Mathematics & economics (2016)

The optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model

von Li, Danping
Veröffentlicht in Institute of Mathematics and Its Applications IMA journal of management mathematics (2016)

Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility

von Li, Danping
Veröffentlicht in Insurance / Mathematics & economics (2018)

Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk

von Li, Danping
Veröffentlicht in Insurance / Mathematics & economics (2015)

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

von Li, Danping
Veröffentlicht in Scandinavian actuarial journal (-2018)

Alpha-robust mean-variance reinsurance-investment strategy

von Li, Bin
Veröffentlicht in Journal of economic dynamics & control (2016)

Optimality of excess-loss reinsurance under a mean-variance criterion

von Li, Danping
Veröffentlicht in Insurance / Mathematics & economics (2017)

A pair of optimal reinsurance-investment strategies in the two-sided exit framework

von Landriault, David
Veröffentlicht in Insurance / Mathematics & economics (2016)

Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model

von Li, Danping
Veröffentlicht in Insurance / Mathematics & economics (2017)

Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility

von Zeng, Yan
Veröffentlicht in Journal of economic dynamics & control (2018)

Optimal investment and consumption strategies for pooled annuity with partial information

von Xie, Lin
Veröffentlicht in Insurance / Mathematics & economics (2023)