Two Classes of Claims Insurance and Reinsurance Strategies Based on CRRA Utility Criteria
This paper mainly studies the insurer's robust optimal investment and reinsur-ance strategies under two classes of risk claims.The insurer is allowed to invest in a risk-free bond,a stock and an option.The objective is to maximize the power utility of net wealth at the end of time.The stock is subject to Heston stochastic volatility model,and insurer can buy proportional reinsurance to diversify investment risks.Using stochastic optimal control theory,the analytic expressions of robust optimal reinsurance,investment strategies and value function are obtained.Finally,the influences of the model parameters on the optimal strategies are analyzed by numerical simulation.
two classes of claimsHeston modeloptionambiguity aversionrobust strategy
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