Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
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- 作者：Xiaoxiao Zhenga ; xxzh1022@163.com" class="auth_mail" title="E-mail the corresponding author ; Jieming Zhoub ; zhjm04101@126.com" class="auth_mail" title="E-mail the corresponding author ; Zhongyang Suna ; zysun_nk@126.com" class="auth_mail" title="E-mail the corresponding author
- 关键词：Robust control ; Hamilton&ndash ; Jacobi&ndash ; Bellman&ndash ; Isaacs equation ; Exponential utility ; Constant elasticity of variance ; Cramé ; r&ndash ; Lundberg risk model
- 刊名：Insurance: Mathematics and Economics
- 出版年：2016
- 出版时间：March 2016
- 年：2016
- 卷：67
- 期：Complete
- 页码：77-87
- 全文大小：516 K
文摘
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A robust optimal portfolio and reinsurance problem under a constant elasticity of variance (CEV) model is investigated.
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The closed-form expressions for the optimal strategies and the corresponding value functions are obtained, and the verification theorem is strictly proved.
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The classic Cramér–Lundberg risk process and its diffusion approximation are both discussed.
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The impact of uncertainty about the diffusion risk and the jump risk are considered simultaneously.
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The DPP approach and PDE technique are used.