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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2016-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2016/9693419 |