2009, English, Article, Journal or magazine article edition: Optimal investment and reinsurance of an insurer with model uncertainty Zhang, Xin; Siu, Tak Kuen

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Bookmark: http://trove.nla.gov.au/version/171266598
Physical Description
  • journal article
Published
  • Elsevier BV, 2009
Language
  • English

Edition details

Title
  • Optimal investment and reinsurance of an insurer with model uncertainty
Author
  • Zhang, Xin
  • Siu, Tak Kuen
Other Contributors
  • Macquarie University. Department of Actuarial Studies
Published
  • Elsevier BV, 2009
Physical Description
  • journal article
Subjects
Summary
  • We introduce a novel approach to optimal investment–reinsurance problems of an insurance company facing model uncertainty via a game theoretic approach. The insurance company invests in a capital market index whose dynamics follow a geometric Brownian motion. The risk process of the company is governed by either a compound Poisson process or its diffusion approximation. The company can also transfer a certain proportion of the insurance risk to a reinsurance company by purchasing reinsurance. The optimal investment–reinsurance problems with model uncertainty are formulated as two-player, zero-sum, stochastic differential games between the insurance company and the market. We provide verification theorems for the Hamilton–Jacobi–Bellman–Isaacs (HJBI) solutions to the optimal investment–reinsurance problems and derive closed-form solutions to the problems.
  • 8 page(s)
Language
  • English
Related Resource
Identifier
  • mq:15141
  • ISSN:0167-6687
  • mq-rm-2009002175

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