This paper investigates the optimal time-consistent policies of an investment-reinsurance
problem and an investment-only problem under the mean-variance criterion for an insurer …

In this paper, the basic claim process is assumed to follow a Brownian motion with drift. In
addition, the insurer is allowed to invest in a risk-free asset and n risky assets and to …

This paper considers a robust optimal reinsurance and investment problem under Heston's
Stochastic Volatility (SV) model for an Ambiguity-Averse Insurer (AAI), who worries about …

We study optimal reinsurance in the framework of stochastic Stackelberg differential game,
in which an insurer and a reinsurer are the two players, and more specifically are …

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 the optimal time-consistent investment and reinsurance strategies for
an insurer under Heston's stochastic volatility (SV) model. Such an SV model applied to …

This paper proposes a new continuous-time framework to analyze optimal reinsurance, in
which an insurer and a reinsurer are two players of a stochastic Stackelberg differential …

In this paper, we determine a robust reinsurance contract from joint interests of the insurer
and reinsurer under the framework of Stackelberg differential game. More specifically, the …

This paper studies an optimal investment–reinsurance problem for an insurer with a surplus
process represented by the Cramér–Lundberg model. The insurer is assumed to be a mean …

The optimal excess-of-loss reinsurance and investment strategies under a constant elasticity
of variance (CEV) model for an insurer are considered in this paper. Assume that the …