In this paper, we investigate the optimal time-consistent investment–reinsurance strategies
for an insurer with state dependent risk aversion and Value-at-Risk (VaR) constraints. The …

This paper aims to investigate optimal reinsurance contracts in a continuous-time modelling
framework from the perspective of a principal-agent problem. The reinsurer plays the role of …

Hedging is an important measure for investors to resist extreme risks and improve their
profits. This paper develops a FIGARCH–EVT–copula–VaR model to derive hedge ratio …

This paper investigates a class of non-zero-sum stochastic differential investment and
reinsurance games between two insurance companies. We allow both insurers to purchase …

This paper investigates the optimal quota-share reinsurance strategies that can bring mutual
benefit to both an insurer and a reinsurer. We consider five different optimality criteria that …

This paper considers a robust optimal investment and reinsurance problem with multiple
dependent risks for an Ambiguity-Averse Insurer (AAI), who is uncertain about the model …

Purpose With the rapid growth of the economy, people have increasingly higher living
standards, and although people simply pursued material wealth in the past, they now pay …

This paper analyzes the optimal reinsurance strategy for insurers with a generalized mean‐
variance premium principle. The surplus process of the insurer is described by the diffusion …

In this paper, we study two optimisation settings for an insurance company, under the
constraint that the terminal surplus at a deterministic and finite time T follows a normal …

This paper is devoted to investigating a non-zero-sum game between two competing
insurers. The insurers can diversify their insurance risks by purchasing proportional …