ROBUST OPTIMAL INVESTMENT AND REINSURANCE TO MINIMIZE A GOAL-REACHING PROBABILITY WITH CONSTRAINED CONTROL VARIABLES

被引：3

作者：

Huang, Ying ^{[2
]}

Huang, Ya ^{[1
]}

Zhou, Jieming ^{[3
]}

机构：

[1] Hunan Normal Univ, Sch Business, Changsha 410081, Peoples R China

[2] Cent South Univ, Sch Math & Stat, Changsha 410083, Peoples R China

[3] Hunan Normal Univ, Sch Math & Stat, MOE LCSM, Changsha 410081, Peoples R China

来源：

JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2023年 / 19卷 / 08期

基金：

中国国家自然科学基金;

关键词：

Goal-reaching probability; HJB equation; investment; reinsurance; robust; PROPORTIONAL REINSURANCE; OPTIMAL PORTFOLIO; INSURER; RUIN; STRATEGIES; ASSETS; MODEL; JUMP;

D O I：

10.3934/jimo.2022211

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

This paper considers a robust optimal investment and reinsurance problem with constraints for an Ambiguity-Averse Insurer (AAI). The criterion is to minimize the goal-reaching probability, namely, the probability that the value of the wealth process reaches a low barrier before a high goal. The robust optimal investment-reinsurance strategy and closed-form expression of the associated value function are derived explicitly by applying stochastic dynamic programming and solving the corresponding Hamiliton-Jacobi-Bellman (HJB) equation. It is extremely interesting that the sum of our value function and the value function of Luo et al. [23] is equal to 1 in two cases of ambiguity and ambiguity-neutral. Finally, numerical examples are given to illustrate the influence of typical parameters on our results.

引用

页码：6182 / 6199

页数：18

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