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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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
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在線閱讀:https://hdl.handle.net/10356/81380
http://hdl.handle.net/10220/40731
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