Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model

Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion

“…(ii) We provide the verification theorem by assuming the smoothness of functions V, f and g. However, finding conditions to guarantee that V, f and g are regular enough to satisfy the extended HJBI system is a difficult open problem even for the case without uncertainty. Yi et al [49], Zheng et al [54] and Zeng et al [52] all study the robust optimal control problems under the exponential utility and find out the proper conditions to guarantee their assumptions. Under the MV framework, this problem is still open.…”

“…(equation (48) in their paper) to define the utility improvement obtained by considering the ambiguity aversion, here J(t, x, v, l) andJ(t, x, v, l) represent the value functions with and without the ambiguity aversion, respectively. Zheng et al [54] describe this by defining a utility loss function…”

Estimating the Gerber-Shiu Expected Discounted Penalty Function for Lévy Risk Model

“…Chau et al [6] used the Fourier-cosine method to evaluate the Gerber-Shiu function. For more studies on Gerber-Shiu function, the interested readers are referred to Yin and Wang [7,8], Asmussen and Albrecher [9], Chi [10], Wang et al [11], Chi and Lin [12], Zhao and Yin [13,14], Shen et al [15], Yu [16][17][18], Yin and Yuen [19,20], Zhao and Yao [21], Zheng et al [22], Huang et al [23], Li et al [24], Zhang et al [25], Yu et al [26], Zeng et al [27,28], Li et al [29], and Dong et al [30].…”

Robust Optimal Excess-of-Loss Reinsurance and Investment Problem with Delay and Dependent Risks

“…Reference [14] assumed that the insurer's wealth process follows a diffusion model, and they optimized a proportional reinsurance and investment problem with model uncertainty. Reference [15] obtained the robust optimal proportional reinsurance and investment strategies for an AAI; in their article, the surplus process is assumed be a Cramér-Lundberg risk model and the risky asset's price follows a constant elasticity of variance (CEV) model. Reference [16] studied the robust optimal proportional reinsurance and investment strategies for both an insurer and a reinsurer.…”