Alpha-robust investment-reinsurance strategy for a mean-variance insurer under a defaultable market [article]

Min Zhang, Yong He
<span title="2021-12-08">2021</span> <i > arXiv </i> &nbsp; <span class="release-stage" >pre-print</span>
In this paper, we consider the robust optimal reinsurance investment problem of the insurer under the α-maxmin mean-variance criterion in the defaultable market. The financial market consists of risk-free bonds, a stock and a defaultable bond. The insurer's surplus process is described by a Lévy insurance model. From the perspective of game theory, the extended Hamilton-Jacobi-Bellman equations are established for the post-default and pre-default conditions respectively. In both cases, the
more &raquo; ... d-form expressions and corresponding value functions of the robust optimal investment reinsurance strategies are derived. Finally, numerical examples and sensitivity analysis are used to illustrate the influence of parameters on the optimal strategies.
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