两类模型不确定下保险公司的最优再保险和投资策略研究

11901574
2019
A0603.经济数学与金融数学
关国卉
青年科学基金项目
副教授
中国人民大学
24万元
再保险;保险人;投资策略;模型不确定;最优控制
2020-01-01到2022-12-31
  • 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 Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution 期刊论文 Guohui Guan;Bin Li
2 退休计划中整合消费、投资和年金的最优决策研究 期刊论文 关国卉;詹家煊;王晓军
3 Robust optimal reinsurance and investment strategies for an AAI with multiple risks 期刊论文 Guohui Guan;Zongxia Liang
4 Optimal management of DC pension fund under the relative performance ratio and VaR constraint 期刊论文 Guohui Guan;Zongxia Liang;Yi Xia
5 Equilibrium mean–variance reinsurance and investment strategies for a general insurance company under smooth ambiguity 期刊论文 Guohui Guan;Xiang Hu
6 Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility 期刊论文 Guohui Guan;Xiaojun Wang
7 Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games 期刊论文 Guohui Guan;Xiang Hu
8 Robust equilibrium strategies in a defined benefit pension plan game 期刊论文 Guohui Guan;Jiaqi Hu;Zongxia Liang
9 On the analysis of a discrete-time risk model with INAR(1) processes 期刊论文 Guohui Guan;Xiang Hu
10 Time-consistent lifetime portfolio selection under smooth ambiguity 期刊论文 Luyang Yu;Liyuan Lin;Guohui Guan;Jingzhen Liu
11 Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks 期刊论文 Jiaqi Zhu;Guohui Guan;Shenghong Li
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