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Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks

机译:具有多重相依风险的保险公司的稳健最优投资再保险策略

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This paper considers a robust optimal investment and reinsurance problem with multiple dependent risks for an Ambiguity-Averse Insurer (AAI), who is uncertain about the model parameters. We assume that the surplus of the insurance company can be allocated to the financial market consisting of one risk-free asset and one risky asset whose price process satisfies square root factor process. Under the objective of maximizing the expected utility of the terminal surplus, by adopting the technique of stochastic control, closed-form expressions of the robust optimal strategy and the corresponding value function are derived. The verification theorem is also provided. Finally, by presenting some numerical examples, the impact of some parameters on the optimal strategy is illustrated and some economic explanations are also given. We find that the robust optimal reinsurance strategies under the generalized mean-variance premium are very different from that under the variance premium principle. In addition, ignoring model uncertainty risk will lead to significant utility loss for the AAI. (C) 2019 Elsevier B.V. All rights reserved.
机译:对于不确定模型参数不确定的歧义规避保险公司(AAI),本文考虑了具有多重相关风险的健壮的最优投资和再保险问题。我们假设保险公司的盈余可以分配给金融市场,该市场由一种无风险资产和一种其价格过程满足平方根因子过程的风险资产组成。在最大化终端盈余预期效用的目标下,通过采用随机控制技术,推导了鲁棒最优策略的闭式表达式和相应的价值函数。还提供了验证定理。最后,通过给出一些数值例子,说明了一些参数对最优策略的影响,并给出了一些经济学上的解释。我们发现,广义均值-方差保费下的稳健最优再保险策略与方差保费原理下的稳健最优再保险策略有很大不同。此外,忽略模型不确定性风险将导致AAI的重大效用损失。 (C)2019 Elsevier B.V.保留所有权利。

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