Optimal dividend-distribution strategy under ambiguity aversion (Q2661496)

The paper focuses on the optimal barrier dividend problem for an insurance company under the hypothesis of model uncertainty. This main risk source is incorporated into the classical risk model which involves the stochastic description of the surplus. After deriving the Hamilton-Jacobi-Bellman-Isaacs (HJBI) equation for optimality, the study provides results concerning the optimal policy, particularly taking into account an increasing ambiguity aversion. The case of a company close to bankruptcy is also analyzed. A numerical analysis clearly explains the quantitative setup presented throughout the paper.