Robust optimal investment and reinsurance problem for a general insurance company under Heston model

In this paper, we study a robust optimal investment and reinsurance problem for a general insurance company which contains an insurer and a reinsurer. Assume that the claim process described by a Brownian motion with drift, the insurer can purchase proportional reinsurance from the reinsurer. Both t...

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Veröffentlicht in:	Mathematical methods of operations research (Heidelberg, Germany) Germany), 2017-04, Vol.85 (2), p.305-326
Hauptverfasser:	Huang, Ya, Yang, Xiangqun, Zhou, Jieming
Format:	Artikel
Sprache:	eng
Schlagworte:	Brownian motion Business and Management Calculus of Variations and Optimal Control Optimization Control theory Economic models Exact solutions Financing Insurance Insurance companies Investment Markets Mathematics Mathematics and Statistics Operations research Operations Research/Decision Theory Optimal control Probability theory Randomness Reinsurance Robustness Stochastic control theory Stochastic processes
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