کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076689 1374098 2013 36 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
ترجمه فارسی عنوان
کنترل بهینه مطلوب برای یک بیمه گر با بیمه بازنشستگی و سرمایه گذاری در مدل نوسان پذیری تصادفی هستون
کلمات کلیدی
استراتژی بازنشستگی و سرمایه گذاری، نوسان پذیری تصادفی، کنترل بهینه مطلوب، حداکثر بهره وری، بیمه گر غیرواقعی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
This paper considers a robust optimal reinsurance and investment problem under Heston's Stochastic Volatility (SV) model for an Ambiguity-Averse Insurer (AAI), who worries about model misspecification and aims to find robust optimal strategies. The surplus process of the insurer is assumed to follow a Brownian motion with drift. The financial market consists of one risk-free asset and one risky asset whose price process satisfies Heston's SV model. By adopting the stochastic dynamic programming approach, closed-form expressions for the optimal strategies and the corresponding value functions are derived. Furthermore, a verification result and some technical conditions for a well-defined value function are provided. Finally, some of the model's economic implications are analyzed by using numerical examples and simulations. We find that ignoring model uncertainty leads to significant utility loss for the AAI. Moreover we propose an alternative model and associated investment strategy which can be considered more adequate under certain finance interpretations, and which leads to significant improvements in our numerical example.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 53, Issue 3, November 2013, Pages 601-614
نویسندگان
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