Acta mathematica scientia,Series A ›› 2021, Vol. 41 ›› Issue (4): 1147-1165.

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Optimal Investment and Proportional Reinsurance Strategies to Minimize the Probability of Drawdown Under Ambiguity Aversion

Yuying Zhao(),Yuzhen Wen*()   

  1. School of Statistics, Qufu Normal University, Shandong Qufu 273165
  • Received:2020-10-22 Online:2021-08-26 Published:2021-08-09
  • Contact: Yuzhen Wen;
  • Supported by:
    the NSFC(11501319);the China Postdoctoral Science Foundation(2015M582064);the NSF of Shandong Province(ZR-2020MA035);the NSF of Shandong Province(ZR2015AL013)


In this paper, we consider the optimal investment and reinsurance control problem for insurers with ambiguity, and we obtain the minimum drawdown probability, optimal robust investment-reinsurance strategies and the associated drift distortion. Moreover, some numerical examples are presented to show the impact of model parameters on the optimal results.

Key words: Ambiguity aversion, Probability of drawdown, Optimal robust investment and reinsurance strategies, Drift distortion

CLC Number: 

  • O224