南方科技大学知识苑(SUSTech KC): ROBUST OPTIMAL INVESTMENT AND REINSURANCE OF AN INSURER UNDER JUMP-DIFFUSION MODELS

题名	ROBUST OPTIMAL INVESTMENT AND REINSURANCE OF AN INSURER UNDER JUMP-DIFFUSION MODELS
作者	Zhang, Xin 1; Meng, Hui 2; Xiong, Jie3 ; Shen, Yang 4
通讯作者	Zhang, Xin
发表日期	2019-03
DOI	10.3934/mcrf.2019003
发表期刊	Mathematical Control and Related Fields 影响因子和分区
ISSN	2156-8472
EISSN	2156-8499
卷号	9 期号:1页码:59-76
摘要	This paper studies a robust optimal investment and reinsurance problem under model uncertainty. The insurer's risk process is modeled by a general jump process generated by a marked point process. By transferring a proportion of insurance risk to a reinsurance company and investing the surplus into the financial market with a bond and a share index, the insurance company aims to maximize the minimal expected terminal wealth with a penalty. By using the dynamic programming, we formulate the robust optimal investment and reinsurance problem into a two-person, zero-sum, stochastic differential game between the investor and the market. Closed-form solutions for the case of the quadratic penalty function are derived in our paper.
关键词	Robust control proportional reinsurance stochastic differential game HJBI equation jump-diffusion model
相关链接	[来源记录]
收录类别	SCI ; SSCI
语种	英语
学校署名	其他
资助项目	Natural Sciences and Engineering Research Council of Canada[RGPIN-2016-05677]
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000454843700003
出版者	AMER INST MATHEMATICAL SCIENCES-AIMS
来源库	Web of Science
引用统计	被引频次[WOS]：7
成果类型	期刊论文
条目标识符	http://sustech.caswiz.com/handle/2SGJ60CL/26364
专题	理学院_数学系工学院_材料科学与工程系
作者单位	1.Southeast Univ, Sch Math, Nanjing 211189, Jiangsu, Peoples R China 2.Cent Univ Finance & Econ, China Inst Actuarial Sci, Beijing 100081, Peoples R China 3.Southern Univ Sci & Technol, Dept Math, Shenzhen 518055, Guangdong, Peoples R China 4.York Univ, Dept Math & Stat, Toronto, ON M3J 1P3, Canada
推荐引用方式 GB/T 7714	Zhang, Xin,Meng, Hui,Xiong, Jie,et al. ROBUST OPTIMAL INVESTMENT AND REINSURANCE OF AN INSURER UNDER JUMP-DIFFUSION MODELS[J]. Mathematical Control and Related Fields,2019,9(1):59-76.
APA	Zhang, Xin,Meng, Hui,Xiong, Jie,&Shen, Yang.(2019).ROBUST OPTIMAL INVESTMENT AND REINSURANCE OF AN INSURER UNDER JUMP-DIFFUSION MODELS.Mathematical Control and Related Fields,9(1),59-76.
MLA	Zhang, Xin,et al."ROBUST OPTIMAL INVESTMENT AND REINSURANCE OF AN INSURER UNDER JUMP-DIFFUSION MODELS".Mathematical Control and Related Fields 9.1(2019):59-76.