Robust optimal investment and reinsurance of an insurer under Jump-diffusion models

Xin Zhang, Hui Meng, Jie Xiong, Yang Shen
2018 Mathematical Control and Related Fields  
This paper studies a robust optimal investment and reinsurance problem under model uncertainty. The insurer's risk process is modeled by a general jump process generated by a marked point process. By transferring a proportion of insurance risk to a reinsurance company and investing the surplus into the financial market with a bond and a share index, the insurance company aims to maximize the minimal expected terminal wealth with a penalty. By using the dynamic programming, we formulate the
more » ... t optimal investment and reinsurance problem into a two-person, zero-sum, stochastic differential game between the investor and the market. Closed-form solutions for the case of the quadratic penalty function are derived in our paper. 2010 Mathematics Subject Classification. Primary: 93E20, 91G80; Secondary: 91A15.
doi:10.3934/mcrf.2019003 fatcat:jwvgumjvbzbqrggac37wv4prv4