Robust Optimal Reinsurance and Investment with Inflation Influence from the Perspective of Ambiguity Aversion
This paper studies the robust optimal reinsurance and investment prob-lem under the ambiguity aversion and inflation risks are considered,simultaneously.The surplus process of an insurance company is defined by the diffusion approxima-tion model,and the financial market consists of a risk-free asset and a risky asset.The insurance company can reduce the risk of claims by adopting proportional rein-surance and increase his wealth by investing in the financial market.The price of the risky asset is converted by inflation,and then the influence of inflation on investment is obtained.By using Radon-Nikodym derivative and Girsanov theorem,the wealth process of the insurance company under ambiguity aversion is obtained.With the goal of maximizing expected utility,the analytical solution of robust optimal reinsurance and investment strategy is obtained.Finally,the influence of model parameters on the theoretical results is discussed through numerical experiments,and the research results can effectively guide the reinsurance and investment decisions of the insurance company.
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