Gu, Ailing; He, Xinya; Chen, Shumin; Yao, Haixiang Optimal investment-consumption and life insurance strategy with mispricing and model ambiguity. (English) Zbl 1517.91201 Methodol. Comput. Appl. Probab. 25, No. 3, Paper No. 77, 19 p. (2023). MSC: 91G10 90C39 91G05 PDFBibTeX XMLCite \textit{A. Gu} et al., Methodol. Comput. Appl. Probab. 25, No. 3, Paper No. 77, 19 p. (2023; Zbl 1517.91201) Full Text: DOI
Cao, Jingyi; Li, Dongchen; Young, Virginia R.; Zou, Bin Reinsurance games with two reinsurers: tree versus chain. (English) Zbl 07709859 Eur. J. Oper. Res. 310, No. 2, 928-941 (2023). MSC: 90Bxx PDFBibTeX XMLCite \textit{J. Cao} et al., Eur. J. Oper. Res. 310, No. 2, 928--941 (2023; Zbl 07709859) Full Text: DOI
Wang, Jixia; Xiao, Xiaofang; Li, Chao Least squares estimations for approximate fractional vasicek model driven by a semimartingale. (English) Zbl 07703403 Math. Comput. Simul. 208, 207-218 (2023). MSC: 62-XX 90-XX PDFBibTeX XMLCite \textit{J. Wang} et al., Math. Comput. Simul. 208, 207--218 (2023; Zbl 07703403) Full Text: DOI
Park, Kyunghyun; Wong, Hoi Ying; Yan, Tingjin Robust retirement and life insurance with inflation risk and model ambiguity. (English) Zbl 1517.91193 Insur. Math. Econ. 110, 1-30 (2023). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 90C17 PDFBibTeX XMLCite \textit{K. Park} et al., Insur. Math. Econ. 110, 1--30 (2023; Zbl 1517.91193) Full Text: DOI
Frezza, Massimiliano; Bianchi, Sergio; Pianese, Augusto Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process. (English) Zbl 07510426 Comput. Manag. Sci. 19, No. 1, 99-132 (2022). MSC: 90Bxx PDFBibTeX XMLCite \textit{M. Frezza} et al., Comput. Manag. Sci. 19, No. 1, 99--132 (2022; Zbl 07510426) Full Text: DOI
Caraballo, Tomás; Boudaoui, Ahmed; Tayeb, Blouhi Transportation inequalities for coupled systems of stochastic delay evolution equations with a fractional Brownian motion. (English) Zbl 1492.60184 Stochastic Anal. Appl. 40, No. 1, 45-62 (2022). Reviewer: Dora Seleši (Novi Sad) MSC: 60H15 60G22 90B06 PDFBibTeX XMLCite \textit{T. Caraballo} et al., Stochastic Anal. Appl. 40, No. 1, 45--62 (2022; Zbl 1492.60184) Full Text: DOI
Han, Xia; Liang, Zhibin; Yuen, Kam Chuen; Yuan, Yu Minimizing the probability of absolute ruin under ambiguity aversion. (English) Zbl 1476.62223 Appl. Math. Optim. 84, No. 3, 2495-2525 (2021). MSC: 62P05 62G35 60J70 90C39 91B05 93E20 PDFBibTeX XMLCite \textit{X. Han} et al., Appl. Math. Optim. 84, No. 3, 2495--2525 (2021; Zbl 1476.62223) Full Text: DOI
Wang, Liyuan; Chen, Zhiping; Yang, Peng Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion. (English) Zbl 1476.90163 J. Ind. Manag. Optim. 17, No. 3, 1203-1233 (2021). MSC: 90B50 93E20 91G80 91A10 PDFBibTeX XMLCite \textit{L. Wang} et al., J. Ind. Manag. Optim. 17, No. 3, 1203--1233 (2021; Zbl 1476.90163) Full Text: DOI
Gu, Ailing; Viens, Frederi G.; Shen, Yang Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model. (English) Zbl 1447.91139 Scand. Actuar. J. 2020, No. 4, 342-375 (2020). MSC: 91G05 91B43 90C39 PDFBibTeX XMLCite \textit{A. Gu} et al., Scand. Actuar. J. 2020, No. 4, 342--375 (2020; Zbl 1447.91139) Full Text: DOI
Chen, Zhiping; Yang, Peng Robust optimal reinsurance-investment strategy with price jumps and correlated claims. (English) Zbl 1445.91051 Insur. Math. Econ. 92, 27-46 (2020). MSC: 91G05 62P05 91G10 90C15 90C39 PDFBibTeX XMLCite \textit{Z. Chen} and \textit{P. Yang}, Insur. Math. Econ. 92, 27--46 (2020; Zbl 1445.91051) Full Text: DOI
Li, Danping; Young, Virginia R. Optimal reinsurance to minimize the discounted probability of ruin under ambiguity. (English) Zbl 1410.91274 Insur. Math. Econ. 87, 143-152 (2019). MSC: 91B30 90C15 35Q91 PDFBibTeX XMLCite \textit{D. Li} and \textit{V. R. Young}, Insur. Math. Econ. 87, 143--152 (2019; Zbl 1410.91274) Full Text: DOI
Belomestny, Denis; Hübner, Tobias; Krätschmer, Volker; Nolte, Sascha Minimax theorems for American options without time-consistency. (English) Zbl 1430.91105 Finance Stoch. 23, No. 1, 209-238 (2019). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 91G20 60G40 90C47 60G46 60G57 60G60 PDFBibTeX XMLCite \textit{D. Belomestny} et al., Finance Stoch. 23, No. 1, 209--238 (2019; Zbl 1430.91105) Full Text: DOI
Guo, Chang; Zhuo, Xiaoyang; Constantinescu, Corina; Pamen, Olivier Menoukeu Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation. (English) Zbl 1411.91281 Methodol. Comput. Appl. Probab. 20, No. 4, 1477-1502 (2018). MSC: 91B30 49L20 90C39 91G80 91G30 PDFBibTeX XMLCite \textit{C. Guo} et al., Methodol. Comput. Appl. Probab. 20, No. 4, 1477--1502 (2018; Zbl 1411.91281) Full Text: DOI
Li, Danping; Zeng, Yan; Yang, Hailiang Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps. (English) Zbl 1416.91203 Scand. Actuar. J. 2018, No. 2, 145-171 (2018). MSC: 91B30 60J75 90C39 90C15 PDFBibTeX XMLCite \textit{D. Li} et al., Scand. Actuar. J. 2018, No. 2, 145--171 (2018; Zbl 1416.91203) Full Text: DOI
Gu, Ailing; Viens, Frederi G.; Yao, Haixiang Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing. (English) Zbl 1402.91196 Insur. Math. Econ. 80, 93-109 (2018). MSC: 91B30 90C39 91G10 93E20 PDFBibTeX XMLCite \textit{A. Gu} et al., Insur. Math. Econ. 80, 93--109 (2018; Zbl 1402.91196) Full Text: DOI
Wang, Pei; Li, Zhongfei Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility. (English) Zbl 1402.91217 Insur. Math. Econ. 80, 67-83 (2018). MSC: 91B30 90C15 90C39 91G10 91G30 PDFBibTeX XMLCite \textit{P. Wang} and \textit{Z. Li}, Insur. Math. Econ. 80, 67--83 (2018; Zbl 1402.91217) Full Text: DOI
Chen, Yan; Wang, Xuancheng A hybrid stock trading system using genetic network programming and mean conditional value-at-risk. (English) Zbl 1338.91165 Eur. J. Oper. Res. 240, No. 3, 861-871 (2015). MSC: 91G80 91G10 90C59 PDFBibTeX XMLCite \textit{Y. Chen} and \textit{X. Wang}, Eur. J. Oper. Res. 240, No. 3, 861--871 (2015; Zbl 1338.91165) Full Text: DOI
A, Chunxiang; Li, Zhongfei Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model. (English) Zbl 1314.91128 Insur. Math. Econ. 61, 181-196 (2015). MSC: 91B30 60H30 90C90 PDFBibTeX XMLCite \textit{C. A} and \textit{Z. Li}, Insur. Math. Econ. 61, 181--196 (2015; Zbl 1314.91128) Full Text: DOI
Guan, Guohui; Liang, Zongxia Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework. (English) Zbl 1304.91193 Insur. Math. Econ. 57, 58-66 (2014). MSC: 91G10 91G30 93E20 90C15 90C39 91B70 PDFBibTeX XMLCite \textit{G. Guan} and \textit{Z. Liang}, Insur. Math. Econ. 57, 58--66 (2014; Zbl 1304.91193) Full Text: DOI
Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model. (English) Zbl 1290.91103 Insur. Math. Econ. 53, No. 3, 601-614 (2013). MSC: 91B30 91B70 91G30 60J65 90C15 PDFBibTeX XMLCite \textit{B. Yi} et al., Insur. Math. Econ. 53, No. 3, 601--614 (2013; Zbl 1290.91103) Full Text: DOI