基于鲁棒优化的时间不一致性偏好下最优投资-再保险策略研究

71701068
2017
G0114.金融工程
黄娅
青年科学基金项目
副教授
湖南师范大学
19万元
投资-再保险;风险理论;模型不确定;时间不一致性;动态规划
2018-01-01到2020-12-31
  • 中英文摘要
  • 结题摘要
  • 结题报告
  • 项目成果
  • 项目参与人
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序号 标题 类型 作者
1 Optimal reinsurance-investment policies for insurers with mispricing under mean-variance criterion 期刊论文 Wang Yijun;Deng Yingchun;Huang Ya;Zhou Jieming;Xiang Xuyan
2 n-Dimensional Laplace Transforms of Occupation Times for Pre-Exit Diffusion Processes 期刊论文 Deng Yingchun;Huang Xuan;Huang Ya;Xiang Xuyan;Zhou Jieming
3 On a discrete interaction risk model with delayed claims and stochastic incomes under random discount rates 期刊论文 Deng Yingchun;Liu Juan;Huang Ya;Li Man;Zhou Jieming
4 Optimal investment and risk control policies for an insurer in an incomplete market 期刊论文 Zhou Jieming;Zhang Xiaoye;Huang Ya;Xiang Xuyan;Deng Yingchun
5 Optimal Strategies for an Ambiguity-Averse Insurer under a Jump-Diffusion Model and Defaultable Risk 期刊论文 Li Man;Deng Yingchun;Huang Ya;Ou Hui
6 Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities 期刊论文 Huang Ya;Ouyang Yao;Tang Lingxiao;Zhou Jieming
7 Robust optimal strategies for an insurer under generalized mean-variance premium principle with defaultable bond 期刊论文 Deng Yingchun;Li Man;Huang Ya;Zhou Jieming
8 On a discrete interaction risk model with delayed claims and randomized dividends 期刊论文 Liu Juan;Huang Ya;Xiang Xuyan;Zhou Jieming
9 Equilibrium investment and risk control for an insurer with non-Markovian regime-switching and no-shorting constraints 期刊论文 Sui Hui;Sun Zhongyang;Huang Ya
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