Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities (Q724542)

The authors study a robust optimal reinsurance-investment problem for a general insurance company which holds shares of an insurance company and a reinsurance company. In their model, the claim process is presented by a Brownian motion with drift, the insurer can purchase proportional reinsurance, and both the insurer and the reinsurer can invest in a risk-free asset and a risky asset. The general insurance company's manager is an ambiguity-averse manager (AAM) and his objective is to maximize the minimal expected product of the insurer's and the reinsurer's exponential utilities. By using stochastic control theory, the authors derive the closed-form expressions of the optimal strategies and the corresponding value function, and present the verification theorem as well as numerical examples to illustrate the effects of model parameters on the optimal investment and reinsurance strategies. They also analyze utility losses between the optimal strategy considering only the insurer and that considering joint interests of the insurer and reinsurer.