模糊厌恶下最小Drawdown概率的最优投资再保险策略

Abstract

Abstract:

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

Yuying Zhao,Yuzhen Wen. Optimal Investment and Proportional Reinsurance Strategies to Minimize the Probability of Drawdown Under Ambiguity Aversion[J].Acta mathematica scientia,Series A, 2021, 41(4): 1147-1165.

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References 16

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

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