2 papers
math.OC2021
Alpha-robust investment-reinsurance strategy for a mean-variance insurer under a defaultable market
Min Zhang, Yong He
In this paper, we consider the robust optimal reinsurance investment problem of the insurer under the -maxmin mean-variance criterion in the defaultable market. The financial ma…
math.OC2021
Alpha-robust investment-reinsurance strategy for a mean-variance insurer with delay
Min Zhang, Yong He
In this paper, a robust optimal reinsurance-investment problem with delay is studied under the -maxmin mean-variance criterion. The surplus process of an insurance company appro…