Robust optimal investment and reinsurance problems with learning
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Publication:4990504
DOI10.1080/03461238.2020.1806917zbMATH Open1468.91121arXiv2001.11301OpenAlexW3003714559MaRDI QIDQ4990504FDOQ4990504
Authors: Nicole Bäuerle, Gregor Leimcke 
Publication date: 28 May 2021
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Abstract: In this paper we consider an optimal investment and reinsurance problem with partially unknown model parameters which are allowed to be learned. The model includes multiple business lines and dependence between them. The aim is to maximize the expected exponential utility of terminal wealth which is shown to imply a robust approach. We can solve this problem using a generalized HJB equation where derivatives are replaced by generalized Clarke gradients. The optimal investment strategy can be determined explicitly and the optimal reinsurance strategy is given in terms of the solution of an equation. Since this equation is hard to solve, we derive bounds for the optimal reinsurance strategy via comparison arguments.
Full work available at URL: https://arxiv.org/abs/2001.11301
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Cited In (13)
- Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution
- Actuarial pricing with financial methods
- Optimal reinsurance and investment with unobservable claim size and intensity
- Robust Dividend, Financing, and Reinsurance Strategies Under Model Uncertainty with Proportional Transaction Costs
- Bayesian optimal investment and reinsurance with dependent financial and insurance risks
- Optimal proportional reinsurance to maximize an insurer’s exponential utility under unobservable drift
- Limit equations of adaptive Erlangization and their application to environmental management
- Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps
- Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model
- Optimal investment strategy for an insurer with partial information in capital and insurance markets
- Robust optimal investment and reinsurance to minimize a goal-reaching probability with constrained control variables
- Optimal reinsurance strategy with mean-variance premium principle and relative performance concern
- A Stackelberg reinsurance-investment game under α -maxmin mean-variance criterion and stochastic volatility
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