Robust Investment-Reinsurance Optimization with Multiscale Stochastic Volatility

Robust Investment-Reinsurance Optimization with Multiscale Stochastic Volatility

This paper investigates the investment and reinsurance problem in the presence of stochastic volatility for an ambiguity-averse insurer (AAI) with a general concave utility function. The AAI concerns about model uncertainty and seeks for an optimal robust decision. We consider a Brownian motion with...

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Bibliographic Details
Main Authors: Pun, Chi Seng, Wong, Hoi Ying
Other Authors: School of Physical and Mathematical Sciences
Format: Journal Article
Language:English
Published: 2016
Subjects:
Investment and reinsurance
Mixture of power utilities
Hamilton–Jacobi–Bellman–Isaacs equation
Multiscale stochastic volatility
Perturbation methods
Online Access:https://hdl.handle.net/10356/81380
http://hdl.handle.net/10220/40731

Internet

https://hdl.handle.net/10356/81380
http://hdl.handle.net/10220/40731

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