Robust Investment-Reinsurance Optimization with Multiscale Stochastic Volatility

• Main Authors: Pun, Chi Seng, Wong, Hoi Ying
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2016
• Subjects: Investment and reinsurance; Mixture of power utilities; Hamilton–Jacobi–Bellman–Isaacs equation; Multiscale stochastic volatility; Perturbation methods
• Online Access: https://hdl.handle.net/10356/81380; http://hdl.handle.net/10220/40731
• Institution: Nanyang Technological University

This paper investigates the investment and reinsurance problem in the presence of stochastic volatility for an ambiguity-averse insurer (AAI) with a general concave utility function. The AAI concerns about model uncertainty and seeks for an optimal robust decision. We consider a Brownian motion with...