Optimal Reinsurance and Investment Strategies with Dependent Claims under Ambiguous Environment
The optimal reinsurance and investment strategies for an insurance company under an ambiguous environment are investigated.Assuming an insurance company has two types of insurance business,among which the first type of insurance business has claim dependence,that is,historical claims will have an impact on future claims.The insurer is allowed to purchase proportional reinsurance and invest its surplus in a financial market composed of risk-free assets,risky assets described by the Constant Elasticity of Variance model,defaulted bonds,and a fuzzy asset.The objective of the insurance company is to maximize the smoothing of the ambiguous effect,by employing stochastic control methods and the principles of dynamic programming.The reinsurance and investment strategies before and after default are derived.Finally,numerical analysis is conducted to illustrate the impact of model parameters on the optimal strategies.
ambiguous environmentclaim dependencysmoothing ambiguous effectreinsurance and in-vestment strategies
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