21 citations · 24 across the 2 of their papers we have counts for
2 papers
q-fin.PM2021★ 3 cited
Bayesian optimal investment and reinsurance with dependent financial and insurance risks
Nicole Bäuerle, Gregor Leimcke
Major events like natural catastrophes or the COVID-19 crisis have impact both on the financial market and on claim arrival intensities and claim sizes of insurers. Thus, when opti…
math.OC2020★ 21 cited
Robust Optimal Investment and Reinsurance Problems with Learning
Nicole Bäuerle, Gregor Leimcke
In this paper we consider an optimal investment and reinsurance problem with partially unknown model parameters which are allowed to be learned. The model includes multiple busines…