Robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks
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Publication:2296543
Summary: This paper investigates a robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks for an ambiguity-averse insurer (AAI). The AAI's wealth process is assumed to be two dependent classes of insurance business. He/she can purchase excess-of-loss reinsurance from the reinsurer and invest in a risk-free asset and a risky asset whose price follows Heston model. We obtain the explicit expressions of the optimal excess-of-loss reinsurance and investment strategy by maximizing the expected exponential utility of AAI's terminal wealth. Finally, we give the proof of the verification theorem. Our models and results posed here can be regarded as a generalization of the existing results in the literature.
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Cited in
(6)- Optimal time-consistent investment and reinsurance strategy under time delay and risk dependent model
- Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
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- Optimal excess-of-loss reinsurance and investment problem with thinning dependent risks under Heston model
- Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk
- Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks
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