Image de couverture de livre

Dynamic reinsurance design with heterogeneous beliefs under the mean-variance framework

Fuente: arXiv

Enregistré dans:

Détails bibliographiques
Auteurs principaux:	Guo, Junyi, Han, Xia, Wang, Hao
Format:	Preprint
Publié:	2025
Sujets:	Optimization and Control Risk Management
Accès en ligne:	Acceder al recurso
Tags:	Ajouter un tag Pas de tags, Soyez le premier à ajouter un tag!

Documents similaires

Dynamic Factor Models with Forward-Looking Views
par: Abdelhakmi, Anas, et autres
Publié: (2025)

Optimal dividend and capital injection under self-exciting claims
par: Aubert, Paulin, et autres
Publié: (2025)

Dynamic reinsurance via martingale transport
par: Acciaio, Beatrice, et autres
Publié: (2026)

On monotone completion of risk markets: Limit results for incomplete risk markets
par: Khajepour, Iman, et autres
Publié: (2025)

Optimal dividends for a NatCat insurer in the presence of a climate tipping point
par: Albrecher, Hansjoerg, et autres
Publié: (2025)

Quantifying the degree of risk aversion of spectral risk measures
par: van Beesten, E. Ruben
Publié: (2024)

Optimal Abatement Schedules for Excess Carbon Emissions Towards a Net-Zero Target
par: Albrecher, Hansjoerg, et autres
Publié: (2026)

Efficiently Computing the Quasiconcave Envelope with Incomplete Information
par: Wu, Jian, et autres
Publié: (2020)

The Boosted Difference of Convex Functions Algorithm for Value-at-Risk Constrained Portfolio Optimization
par: Thormann, Marah-Lisanne, et autres
Publié: (2024)

A Martingale approach to continuous Portfolio Optimization under CVaR like constraints
par: Lelong, Jérôme, et autres
Publié: (2025)

Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients
par: Shi, Xiaomin, et autres
Publié: (2024)

Risk-aware stochastic scheduling of multi-market energy storage systems
par: Patrón, Gabriel D., et autres
Publié: (2025)

Singular Control in Inventory Management with Smooth Ambiguity
par: Archankul, Arnon, et autres
Publié: (2025)

The Scaling Behaviors in Achieving High Reliability via Chance-Constrained Optimization
par: Deo, Anand, et autres
Publié: (2025)

Optimal Cash Transfers and Microinsurance to Reduce Social Protection Costs
par: Azcue, Pablo, et autres
Publié: (2025)

Optimal Risk-Sharing Rules in Network-based Decentralized Insurance
par: Fogarty, Heather N., et autres
Publié: (2026)

On Unified Adaptive Black-Litterman Mean-Variance Portfolio Management
par: Li, Chi-Lin, et autres
Publié: (2023)

A non-zero-sum game with reinforcement learning under mean-variance framework
par: Guo, Junyi, et autres
Publié: (2025)

Performance-based variable premium scheme and reinsurance design
par: Shi, Ziyue, et autres
Publié: (2024)

Joint Stochastic Optimal Control and Stopping in Aquaculture: Finite-Difference and PINN-Based Approaches
par: Kamm, Kevin
Publié: (2025)

Risk-Averse Markov Decision Processes through a Distributional Lens
par: Cheng, Ziteng, et autres
Publié: (2022)

Deep Learning the Efficient Frontier of Convex Vector Optimization Problems
par: Feinstein, Zachary, et autres
Publié: (2022)

Singular Control in a Cash Management Model with Ambiguity
par: Archankul, Arnon, et autres
Publié: (2023)

Cyber Risk Assessment for Capital Management
par: Chong, Wing Fung, et autres
Publié: (2022)

Sampler-Robust Optimization under Generative Models
par: Zhang, Ziwei, et autres
Publié: (2026)

Optimal design of reinsurance contracts with a continuum of risk assessments
par: Cheung, Ka Chun, et autres
Publié: (2025)

Conditional Risk Minimization with Side Information: A Tractable, Universal Optimal Transport Framework
par: Xie, Xinqiao, et autres
Publié: (2025)

Generative Adversarial Regression (GAR): Learning Conditional Risk Scenarios
par: Asadi, Saeed, et autres
Publié: (2026)

Convolution Bounds on Quantile Aggregation
par: Blanchet, Jose, et autres
Publié: (2020)

Optimal risk mitigation by deep reinsurance
par: Arandjelović, Aleksandar, et autres
Publié: (2024)

Robust optimal consumption, investment and reinsurance for recursive preferences
par: Dadzie, Elizabeth, et autres
Publié: (2025)

Bounds for Distributionally Robust Optimization Problems
par: Tam, Brandon, et autres
Publié: (2025)

Robust Hedging of path-dependent options using a min-max algorithm
par: Banerjee, Purba, et autres
Publié: (2025)

Network and Risk Analysis of Surety Bonds
par: Broderick, Tamara, et autres
Publié: (2025)

Estimation of Systemic Shortfall Risk Measure using Stochastic Algorithms
par: Kaakai, Sarah, et autres
Publié: (2022)

Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
par: Zhang, Panpan, et autres
Publié: (2023)

Pareto-optimal reinsurance under dependence uncertainty
par: Boonen, Tim J., et autres
Publié: (2025)

Risk-Sensitive Mean Field Games with Common Noise: A Theoretical Study with Applications to Interbank Markets
par: Ren, Xin Yue, et autres
Publié: (2024)

LQG Risk-Sensitive Single-Agent and Major-Minor Mean-Field Game Systems: A Variational Framework
par: Liu, Hanchao, et autres
Publié: (2023)

Solving The Dynamic Volatility Fitting Problem: A Deep Reinforcement Learning Approach
par: Gnabeyeu, Emmanuel, et autres
Publié: (2024)