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Robust optimal investment and reinsurance of an insurer under Jump-diffusion models
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
doi:10.3934/mcrf.2019003
fatcat:jwvgumjvbzbqrggac37wv4prv4