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: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2016
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/81380 http://hdl.handle.net/10220/40731 |
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| Institution: | Nanyang Technological University |
| Language: | English |