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

doi:10.1016/j.insmatheco.2019.09.006

	Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks; Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks; Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks; Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks; Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
	Sun, Jingyun; Yao, Haixiang ; Kang, Zhilin
	2019-11 ; 2019-11 ; 2019-11 ; 2019-11 ; 2019-11
发表期刊	INSURANCE MATHEMATICS & ECONOMICS ; INSURANCE MATHEMATICS & ECONOMICS ; INSURANCE MATHEMATICS & ECONOMICS ; INSURANCE MATHEMATICS & ECONOMICS ; INSURANCE MATHEMATICS & ECONOMICS
卷号	89 页码:157-170
摘要	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.; 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.; 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.; 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.; 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.
关键词	Ambiguity-averse insurer Ambiguity-averse insurer Ambiguity-averse insurer Ambiguity-averse insurer Ambiguity-averse insurer Robust optimal control Robust optimal control Robust optimal control Robust optimal control Robust optimal control Multiple dependent risks Multiple dependent risks Multiple dependent risks Multiple dependent risks Multiple dependent risks Square-root factor process Square-root factor process Square-root factor process Square-root factor process Square-root factor process Suboptimal strategy Suboptimal strategy Suboptimal strategy Suboptimal strategy Suboptimal strategy Utility loss Utility loss Utility loss Utility loss Utility loss
DOI	10.1016/j.insmatheco.2019.09.006 ; 10.1016/j.insmatheco.2019.09.006 ; 10.1016/j.insmatheco.2019.09.006 ; 10.1016/j.insmatheco.2019.09.006 ; 10.1016/j.insmatheco.2019.09.006
收录类别	SCI ; SCI ; SCI ; SCI ; SCI ; SCOPUS ; SCOPUS ; SCOPUS ; SCOPUS ; SCOPUS ; SCIE ; SCIE ; SCIE ; SCIE ; SCIE ; SSCI ; SSCI ; SSCI ; SSCI ; SSCI
ISSN	0167-6687 ; 0167-6687 ; 0167-6687 ; 0167-6687 ; 0167-6687
语种	英语 ; 英语 ; 英语 ; 英语 ; 英语
WOS研究方向	Business & Economics ; Business & Economics ; Business & Economics ; Business & Economics ; Business & Economics ; Mathematics ; Mathematics ; Mathematics ; Mathematics ; Mathematics ; Mathematical Methods In Social Sciences ; Mathematical Methods In Social Sciences ; Mathematical Methods In Social Sciences ; Mathematical Methods In Social Sciences ; Mathematical Methods In Social Sciences
WOS类目	Economics ; Economics ; Economics ; Economics ; Economics ; Mathematics, Interdisciplinary Applications ; Mathematics, Interdisciplinary Applications ; Mathematics, Interdisciplinary Applications ; Mathematics, Interdisciplinary Applications ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods ; Social Sciences, Mathematical Methods ; Social Sciences, Mathematical Methods ; Social Sciences, Mathematical Methods ; Social Sciences, Mathematical Methods ; Statistics & Probability ; Statistics & Probability ; Statistics & Probability ; Statistics & Probability ; Statistics & Probability
WOS记录号	WOS:000501619400011 ; WOS:000501619400011 ; WOS:000501619400011 ; WOS:000501619400011 ; WOS:000501619400011
出版者	ELSEVIER ; ELSEVIER ; ELSEVIER ; ELSEVIER ; ELSEVIER
原始文献类型	Article
EISSN	1873-5959
引用统计	被引频次：9[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/10459
专题	统计与数据科学学院
作者单位	1.Lanzhou Univ Finance & Econ, Sch Stat, Lanzhou 730020, Gansu, Peoples R China; 2.Guangdong Univ Foreign Studies, Sch Finance, Guangzhou 510006, Guangdong, Peoples R China; 3.Southern China Inst Fortune Management Res IFMR, Guangzhou 510006, Guangdong, Peoples R China; 4.Huaqiao Univ, Sch Math Sci, Quanzhou 362021, Fujian, Peoples R China
推荐引用方式 GB/T 7714	Sun, Jingyun,Yao, Haixiang,Kang, Zhilin. Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks, Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks, Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks, Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks, Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks[J]. INSURANCE MATHEMATICS & ECONOMICS, INSURANCE MATHEMATICS & ECONOMICS, INSURANCE MATHEMATICS & ECONOMICS, INSURANCE MATHEMATICS & ECONOMICS, INSURANCE MATHEMATICS & ECONOMICS,2019, 2019, 2019, 2019, 2019,89, 89, 89, 89, 89:157-170, 157-170, 157-170, 157-170, 157-170.
APA	Sun, Jingyun,Yao, Haixiang,&Kang, Zhilin.(2019).Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks.INSURANCE MATHEMATICS & ECONOMICS,89,157-170.
MLA	Sun, Jingyun,et al."Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks".INSURANCE MATHEMATICS & ECONOMICS 89(2019):157-170.

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