Robust optimal proportional reinsurance and investment strategy for an insurer with Ornstein-Uhlenbeck process
Bull. Korean Math. Soc.
Published online October 17, 2019
Jianjing Ma, Guojing Wang, and Yongsheng Xing
Shandong Technology and Business University, Soochow University
Abstract : This paper analyzes a robust optimal reinsurance and investment strategy for an Ambiguity-Averse Insurer(AAI), who worries about model misspecification and insists on seeking robust optimal strategies. The AAI's surplus process is assumed to follow a jump-diffusion model, and he is allowed to purchase proportional reinsurance or acquire new business, meanwhile invest his surplus in a risk-free asset and a risky-asset, whose price is described by an Ornstein-Uhlenbeck process. Under the criterion for maximizing the expected exponential utility of terminal wealth, robust optimal strategy and value function are derived by applying the stochastic dynamic programming approach.
Keywords : robust optimal control; jump-diffusion process; Ornstein-Uhlenbeck process; Hamilton-Jacobi-Bellman-Isaacs equation
MSC numbers : 91B30; 93E20
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