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 |
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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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