This paper analyzes the equilibrium strategy of a robust optimal reinsurance-investment
problem under the mean–variance criterion in a model with jumps for an ambiguity-averse …

This paper considers a robust optimal excess-of-loss reinsurance-investment problem in a
model with jumps for an ambiguity-averse insurer (AAI), who worries about ambiguity and …

This paper provides a derivative-based optimal investment strategy for an ambiguity-
adverse pension investor who faces not only risks from time-varying income and market …

This paper considers the robust optimal reinsurance–investment strategy selection problem
with price jumps and correlated claims for an ambiguity-averse insurer (AAI). The correlated …

We investigate a robust optimal portfolio and reinsurance problem under a Cramér–
Lundberg risk model for an ambiguity-averse insurer (AAI), who worries about uncertainty in …

This paper considers a robust portfolio choice problem for a defined contribution pension
plan with stochastic income and stochastic interest rate. The investment objective of the …

This paper considers a robust optimal investment and reinsurance problem under model
ambiguity and default risk for an insurer, who can trade in a saving account, a stock and a …

Recently, stochastic Poisson jump diffusion system has attracted much attention in
stochastic control. Poisson jump process has been used to model the random discontinuous …

This paper investigates a class of robust non-zero-sum reinsurance–investment stochastic
differential games between two competing insurers under the time-consistent mean …

We determine the optimal portfolio for an ambiguity averse investor who has access to stock
and derivatives markets. The stock price follows a stochastic volatility jump-diffusion process …