Robust optimal reinsurance and investment strategy for an insurer and a reinsurer with default risks and jumps

IF 0.6 4区数学 Q4 STATISTICS & PROBABILITY

Communications in Statistics - Theory and Methods Pub Date : 2024-08-21 DOI:10.1080/03610926.2024.2387835

Qiang Zhang, Weiwei Wang, Qianqian Cui

引用次数: 0

Abstract

In this article, we analyze a robust optimal reinsurance and investment problem in a model with default risks and jumps for a general company which holds shares of an insurer and a reinsurer. The i...

查看原文本刊更多论文

具有违约风险和跳跃性的保险人和再保险人的稳健优化再保险和投资策略

本文分析了一个具有违约风险和跳跃的模型中的稳健最优再保险和投资问题，该模型适用于一家持有保险公司和再保险公司股份的普通公司。这...

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Communications in Statistics - Theory and Methods 数学-统计学与概率论

CiteScore

2.00

自引率

12.50%

发文量

320

审稿时长

7.5 months

期刊介绍： The Theory and Methods series intends to publish papers that make theoretical and methodological advances in Probability and Statistics. New applications of statistical and probabilistic methods will also be considered for publication. In addition, special issues dedicated to a specific topic of current interest will also be published in this series periodically, providing an exhaustive and up-to-date review of that topic to the readership.