Robust optimal investment and reinsurance for an insurer with inside information
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Publication:2656984
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.
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Cited in
(22)- Optimal proportional reinsurance and investment problem with jump-diffusion risk process under effect of inside information
- Uncertainty and inside information
- Non-zero-sum reinsurance and investment game with correlation between insurance market and financial market under CEV model
- A non-zero-sum stochastic differential game between two mean-variance insurers with inside information
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- Optimal investment and risk control for an insurer under inside information
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- Expected utility maximization for an insurer with investment and risk control under inside information
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