Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model

DOI10.1016/j.insmatheco.2013.08.011zbMath1290.91103OpenAlexW2080914628MaRDI QIDQ2015626

Yan Zeng, Bo Yi, Frederi G. Viens, Zhong-Fei Li

Publication date: 23 June 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.08.011

zbMATH Keywords

stochastic volatility utility maximization robust optimal control ambiguity-averse insurer reinsurance and investment strategy

Mathematics Subject Classification ID

Stochastic programming (90C15) Stochastic models in economics (91B70) Brownian motion (60J65) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items

Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model ⋮ Robust equilibrium strategy for DC pension plan with the return of premiums clauses in a jump-diffusion model ⋮ Robust optimal investment strategy of DC pension plans with stochastic salary and a return of premiums clause ⋮ Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model ⋮ Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling ⋮ Time-consistent proportional reinsurance and investment strategies under ambiguous environment ⋮ Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model ⋮ Robust reinsurance contract with learning and ambiguity aversion ⋮ Constrained investment-reinsurance optimization with regime switching under variance premium principle ⋮ Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model ⋮ Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility ⋮ Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing ⋮ Robust non-zero-sum stochastic differential reinsurance game ⋮ Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model ⋮ Robust optimal investment problem with delay under Heston's model ⋮ Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk ⋮ Robust risk-taking under a sustainable constraint ⋮ Alpha-robust mean-variance reinsurance-investment strategy ⋮ Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility ⋮ Optimal investment and premium control for insurers with ambiguity ⋮ Martingale and duality methods for optimal investment and reinsurance problem in a Lévy model ⋮ Robust optimal asset-liability management with penalization on ambiguity ⋮ Robust optimal strategies for an insurer under generalized mean-variance premium principle with defaultable bond ⋮ Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk ⋮ Robust optimal insurance and investment strategies for the government and the insurance company under mispricing phenomenon ⋮ Robust optimal investment and reinsurance for an insurer with inside information ⋮ Stackelberg differential game for insurance under model ambiguity ⋮ Robust equilibrium strategies in a defined benefit pension plan game ⋮ Optimal dividend-distribution strategy under ambiguity aversion ⋮ Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria ⋮ Optimal reinsurance under the \(\alpha\)-maxmin mean-variance criterion ⋮ Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps ⋮ Robust stochastic Stackelberg differential reinsurance and investment games for an insurer and a reinsurer with delay ⋮ Robust dynamic pairs trading with cointegration ⋮ Robust optimal proportional reinsurance and investment strategy for an insurer with Ornstein-Uhlenbeck process ⋮ Feedback optimal controllers for the Heston model ⋮ Optimal reinsurance to minimize the discounted probability of ruin under ambiguity ⋮ Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle ⋮ Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps ⋮ Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps ⋮ A Stackelberg reinsurance-investment game under α -maxmin mean-variance criterion and stochastic volatility ⋮ Optimal reinsurance and dividend under model uncertainty ⋮ Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk ⋮ Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps ⋮ A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment ⋮ Robust portfolio choice with limited attention ⋮ Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models ⋮ Robust Control Problems of BSDEs Coupled with Value Functions ⋮ Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps ⋮ Robust equilibrium reinsurance and investment strategy for the insurer and reinsurer under weighted mean-variance criterion ⋮ A Stackelberg reinsurance-investment game under Heston's stochastic volatility model ⋮ The optimal investment-reinsurance strategies for ambiguity aversion insurer in uncertain environment ⋮ Robust optimal investment and reinsurance to minimize a goal-reaching probability with constrained control variables ⋮ Mean field and \(n\)-insurers games for robust optimal reinsurance-investment in correlated markets ⋮ Robust retirement and life insurance with inflation risk and model ambiguity ⋮ Optimal investment strategy for asset-liability management under the Heston model ⋮ Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility ⋮ A dynamic pricing game for general insurance market ⋮ Unnamed Item ⋮ Stochastic differential game for management of non-renewable fishery resource under model ambiguity ⋮ Minimizing the probability of absolute ruin under ambiguity aversion ⋮ Optimal risk exposure and dividend payout policies under model uncertainty ⋮ Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion ⋮ Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform ⋮ Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate ⋮ Optimal reinsurance and investment strategy with delay in Heston's SV model ⋮ Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity ⋮ Maximizing a robust goal-reaching probability with penalization on ambiguity ⋮ Derivatives trading for insurers ⋮ Robust non-zero-sum investment and reinsurance game with default risk ⋮ Robust optimal reinsurance and investment strategies for an AAI with multiple risks ⋮ Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks ⋮ Robust optimal investment and reinsurance problem for a general insurance company under Heston model ⋮ Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function ⋮ Dynamic portfolio selection with mispricing and model ambiguity ⋮ Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion ⋮ Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility ⋮ Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities ⋮ Time-consistency of optimal investment under smooth ambiguity ⋮ Robust portfolio selection for individuals: minimizing the probability of lifetime ruin ⋮ Optimal consumption and portfolio decision with convertible bond in affine interest rate and Heston's SV framework ⋮ Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach ⋮ Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework ⋮ Optimal investment, consumption and proportional reinsurance under model uncertainty ⋮ Robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks ⋮ REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE ⋮ A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market ⋮ Time-consistent investment-reinsurance strategy with a defaultable security under ambiguous environment ⋮ Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria ⋮ Stock return uncertainty and life insurance ⋮ Robust optimal reinsurance-investment strategy with price jumps and correlated claims ⋮ Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework ⋮ Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution ⋮ A Stackelberg reinsurance–investment game with asymmetric information and delay ⋮ Household consumption-investment-insurance decisions with uncertain income and market ambiguity ⋮ Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process ⋮ Robust investment-reinsurance optimization with multiscale stochastic volatility ⋮ Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model ⋮ Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games

Cites Work