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• W1998091013 abstract "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." @default.
• W1998091013 created "2016-06-24" @default.
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• W1998091013 date "2009-08-01" @default.
• W1998091013 modified "2023-10-06" @default.
• W1998091013 title "Optimal investment and reinsurance of an insurer with model uncertainty" @default.
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• W1998091013 doi "https://doi.org/10.1016/j.insmatheco.2009.04.001" @default.
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