Robust Investment-Reinsurance Optimization with Multiscale Stochastic Volatility

Robust Investment-Reinsurance Optimization with Multiscale Stochastic Volatility

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...

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書目詳細資料
Main Authors:	Pun, Chi Seng, Wong, Hoi Ying
其他作者:	School of Physical and Mathematical Sciences
格式:	Article
語言:	English
出版:	2016
主題:	Investment and reinsurance Mixture of power utilities Hamilton–Jacobi–Bellman–Isaacs equation Multiscale stochastic volatility Perturbation methods
在線閱讀:	https://hdl.handle.net/10356/81380 http://hdl.handle.net/10220/40731
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Nanyang Technological University
語言:	English

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