Robust Optimal Excess-of-Loss Reinsurance and Investment Problem with Delay and Dependent Risks
Joint Authors
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2019, Issue 2019 (31 Dec. 2019), pp.1-21, 21 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2019-08-01
Country of Publication
Egypt
No. of Pages
21
Main Subjects
Abstract EN
This paper investigates a robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks for an ambiguity-averse insurer (AAI).
The AAI’s wealth process is assumed to be two dependent classes of insurance business.
He/she can purchase excess-of-loss reinsurance from the reinsurer and invest in a risk-free asset and a risky asset whose price follows Heston model.
We obtain the explicit expressions of the optimal excess-of-loss reinsurance and investment strategy by maximizing the expected exponential utility of AAI’s terminal wealth.
Finally, we give the proof of the verification theorem.
Our models and results posed here can be regarded as a generalization of the existing results in the literature.
American Psychological Association (APA)
Zhang, Yan& Zhao, Peibiao. 2019. Robust Optimal Excess-of-Loss Reinsurance and Investment Problem with Delay and Dependent Risks. Discrete Dynamics in Nature and Society،Vol. 2019, no. 2019, pp.1-21.
https://search.emarefa.net/detail/BIM-1146487
Modern Language Association (MLA)
Zhang, Yan& Zhao, Peibiao. Robust Optimal Excess-of-Loss Reinsurance and Investment Problem with Delay and Dependent Risks. Discrete Dynamics in Nature and Society No. 2019 (2019), pp.1-21.
https://search.emarefa.net/detail/BIM-1146487
American Medical Association (AMA)
Zhang, Yan& Zhao, Peibiao. Robust Optimal Excess-of-Loss Reinsurance and Investment Problem with Delay and Dependent Risks. Discrete Dynamics in Nature and Society. 2019. Vol. 2019, no. 2019, pp.1-21.
https://search.emarefa.net/detail/BIM-1146487
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1146487