Worst-Case Investment and Reinsurance Optimization for an Insurer under Model Uncertainty
In this paper, we study optimal investment-reinsurance strategies for an insurer who faces model uncertainty. The insurer is allowed to acquire new business and invest into a financial market which consists of one risk-free asset and one risky asset whose price process is modeled by a Geometric Brow...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2016-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2016/9693419 |
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| _version_ | 1850221133211631616 |
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| author | Xiangbo Meng Ximin Rong Lidong Zhang Ziping Du |
| author_facet | Xiangbo Meng Ximin Rong Lidong Zhang Ziping Du |
| author_sort | Xiangbo Meng |
| collection | DOAJ |
| description | In this paper, we study optimal investment-reinsurance strategies for an insurer who faces model uncertainty. The insurer is allowed to acquire new business and invest into a financial market which consists of one risk-free asset and one risky asset whose price process is modeled by a Geometric Brownian motion. Minimizing the expected quadratic distance of the terminal wealth to a given benchmark under the “worst-case” scenario, we obtain the closed-form expressions of optimal strategies and the corresponding value function by solving the Hamilton-Jacobi-Bellman (HJB) equation. Numerical examples are presented to show the impact of model parameters on the optimal strategies. |
| format | Article |
| id | doaj-art-73fa6b3555df40759cc47e706040357b |
| institution | OA Journals |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2016-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-73fa6b3555df40759cc47e706040357b2025-08-20T02:06:47ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2016-01-01201610.1155/2016/96934199693419Worst-Case Investment and Reinsurance Optimization for an Insurer under Model UncertaintyXiangbo Meng0Ximin Rong1Lidong Zhang2Ziping Du3School of Science, Tianjin University, Tianjin 300072, ChinaSchool of Science, Tianjin University, Tianjin 300072, ChinaSchool of Science, Tianjin University of Science & Technology, Tianjin 300457, ChinaSchool of Economics and Management, Tianjin University of Science & Technology, Tianjin 300222, ChinaIn this paper, we study optimal investment-reinsurance strategies for an insurer who faces model uncertainty. The insurer is allowed to acquire new business and invest into a financial market which consists of one risk-free asset and one risky asset whose price process is modeled by a Geometric Brownian motion. Minimizing the expected quadratic distance of the terminal wealth to a given benchmark under the “worst-case” scenario, we obtain the closed-form expressions of optimal strategies and the corresponding value function by solving the Hamilton-Jacobi-Bellman (HJB) equation. Numerical examples are presented to show the impact of model parameters on the optimal strategies.http://dx.doi.org/10.1155/2016/9693419 |
| spellingShingle | Xiangbo Meng Ximin Rong Lidong Zhang Ziping Du Worst-Case Investment and Reinsurance Optimization for an Insurer under Model Uncertainty Discrete Dynamics in Nature and Society |
| title | Worst-Case Investment and Reinsurance Optimization for an Insurer under Model Uncertainty |
| title_full | Worst-Case Investment and Reinsurance Optimization for an Insurer under Model Uncertainty |
| title_fullStr | Worst-Case Investment and Reinsurance Optimization for an Insurer under Model Uncertainty |
| title_full_unstemmed | Worst-Case Investment and Reinsurance Optimization for an Insurer under Model Uncertainty |
| title_short | Worst-Case Investment and Reinsurance Optimization for an Insurer under Model Uncertainty |
| title_sort | worst case investment and reinsurance optimization for an insurer under model uncertainty |
| url | http://dx.doi.org/10.1155/2016/9693419 |
| work_keys_str_mv | AT xiangbomeng worstcaseinvestmentandreinsuranceoptimizationforaninsurerundermodeluncertainty AT ximinrong worstcaseinvestmentandreinsuranceoptimizationforaninsurerundermodeluncertainty AT lidongzhang worstcaseinvestmentandreinsuranceoptimizationforaninsurerundermodeluncertainty AT zipingdu worstcaseinvestmentandreinsuranceoptimizationforaninsurerundermodeluncertainty |