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Communications in Statistics - Theory and Methods Volume 51, 2022 - Issue 16
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Articles

Optimal reinsurance–investment policies for insurers with mispricing under mean-variance criterion

Yijun Wanga LCSM, Ministry of Education, School of Mathematics and Statistics, Hunan Normal University, Changsha, People’s Republic of ChinaView further author information
,
Yingchun Denga LCSM, Ministry of Education, School of Mathematics and Statistics, Hunan Normal University, Changsha, People’s Republic of ChinaView further author information
,
Ya Huangb School of Business, Hunan Normal University, Changsha, People’s Republic of ChinaCorrespondence[email protected]
View further author information
,
Jieming Zhouc Key Laboratory of Applied Statistics and Data Science, Hunan Normal University, College of Hunan Province, Changsha, People’s Republic of ChinaView further author information
&
Xuyan Xiangd Hunan Province Cooperative Innovation Center for the Construction and Development of Dongting Lake Ecological Economic Zone, School of Mathematics and Physics, Hunan University of Arts and Science, Changde, People’s Republic of ChinaView further author information
Pages 5653-5680 | Received 07 Mar 2020, Accepted 26 Oct 2020, Published online: 14 Dec 2020

Citations (5)

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Read on this site (1)

Wanlu Zhang & Hui Meng. (2024) Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle. Communications in Statistics - Theory and Methods 53:1, pages 113-143.
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Articles from other publishers (4)

于榕 孔. (2024) Optimal Reinsurance and Investment Strategies with Common Shocks and Mispricing. Advances in Applied Mathematics 13:04, pages 1723-1737.
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Ailing Gu, Xinya He, Shumin Chen & Haixiang Yao. (2023) Optimal Investment-Consumption and Life Insurance Strategy with Mispricing and Model Ambiguity. Methodology and Computing in Applied Probability 25:3.
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Peng Yang. (2023) Robust optimal reinsurance-investment problem for $ n $ competitive and cooperative insurers under ambiguity aversion. AIMS Mathematics 8:10, pages 25131-25163.
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Zilan Liu, Yijun Wang, Ya Huang & Jieming Zhou. (2023) Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework. Journal of Industrial and Management Optimization 19:2, pages 1262.
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