Robust optimal excess-of-loss reinsurance and investment problem with p-thinning dependent risks under CEV model
This paper is devoted to study a robust optimal excess-of-loss reinsurance and investment problem with p-thinning dependent risks for an ambiguity-averse insurer (AAI). Assume that the AAI's wealth process consists of two p-thinning dependent classes of insurance business. The AAI is allowed to...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2021-04-01
|
| Series: | Quantitative Finance and Economics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/QFE.2021007?viewType=HTML |