Optimal Strategies for an Ambiguity-Averse Insurer under a Jump-Diffusion Model and Defaultable Risk
Joint Authors
Li, Man
Deng, Yingchun
Ou, Hui
Huang, Ya
Source
Mathematical Problems in Engineering
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-26, 26 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-03-11
Country of Publication
Egypt
No. of Pages
26
Main Subjects
Abstract EN
In this paper, we consider a robust optimal investment-reinsurance problem with a default risk.
The ambiguity-averse insurer (AAI) may carry out transactions on a risk-free asset, a stock, and a defaultable corporate bond.
The stock’s price is described by a jump-diffusion process, and both the jump intensity and the distribution of jump amplitude are uncertain, i.e., the jump is ambiguous.
The AAI’s surplus process is assumed to follow an approximate diffusion process.
In particular, the reinsurance premium is calculated according to the generalized mean-variance premium principle, and the reinsurance type has to follow a self-reinsurance function.
In performing dynamic programming, both the predefault case and the postdefault case are analyzed, and the optimal strategies and the corresponding value functions are derived under the worst-case scenario.
Moreover, we give a detailed proof of the verification theorem and give some special cases and numerical examples to illustrate our theoretical results.
American Psychological Association (APA)
Li, Man& Deng, Yingchun& Huang, Ya& Ou, Hui. 2020. Optimal Strategies for an Ambiguity-Averse Insurer under a Jump-Diffusion Model and Defaultable Risk. Mathematical Problems in Engineering،Vol. 2020, no. 2020, pp.1-26.
https://search.emarefa.net/detail/BIM-1196588
Modern Language Association (MLA)
Li, Man…[et al.]. Optimal Strategies for an Ambiguity-Averse Insurer under a Jump-Diffusion Model and Defaultable Risk. Mathematical Problems in Engineering No. 2020 (2020), pp.1-26.
https://search.emarefa.net/detail/BIM-1196588
American Medical Association (AMA)
Li, Man& Deng, Yingchun& Huang, Ya& Ou, Hui. Optimal Strategies for an Ambiguity-Averse Insurer under a Jump-Diffusion Model and Defaultable Risk. Mathematical Problems in Engineering. 2020. Vol. 2020, no. 2020, pp.1-26.
https://search.emarefa.net/detail/BIM-1196588
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1196588