Robust optimal investment and reinsurance for an insurer with inside information (Q2656984)

The authors study a robust optimal investment-reinsurance problem for an insurer who possesses inside information on the financial market and the insurance business under model uncertainty. The insurer's surplus process and the risky asset process in the financial market are assumed to be correlated jump diffusion processes with random coefficients; and the inside information is modelled by a general random variable related to the future realizations of the surplus process and the risky asset process. Under the criterion of expected utility maximization, and by incorporating Knightian uncertainty into the model, they establish an adapted stochastic differential game problem with a nonstandard performance functional, which aims to select the robust optimal investment-reinsurance strategy for the insurer with inside information.