Robust optimal reinsurance–investment for α-maxmin mean–variance utility under Heston’s SV model

Dengsheng Chen, Yong He and Ziqiang Li

The North American Journal of Economics and Finance, 2023, vol. 67, issue C

Abstract: Most literatures about robust optimal reinsurance–investment problem aim to maximum the value function under the worst-case scenario, but some insurers are optimistic, so it is more reasonable to consider a more smooth criterion named α-maxmin criterion which seek a balance between the worst-case scenario and best-case scenario. Furthermore, the past performance of insurance company will heavily impact the reinsurance–investment strategy of insurer, by introducing the capital flow related to the historical performance of the insurer, the wealth process can be described by stochastic delay differential equation. In this paper, we consider the robust optimal reinsurance–investment strategy for an α-maxmin mean–variance insurer with delay under Heston’s stochastic volatility stock model, the verification theorem is given and the closed-form solutions of value function and optimal strategies are obtained, respectively. In the part of numerical analysis, we illustrate the influence of some important parameters on the optimal strategies.

Keywords: Reinsurance–investment problem; α-maxmin criterion; Delay; Heston’s stochastic volatility (search for similar items in EconPapers)
JEL-codes: C20 C61 G11 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:67:y:2023:i:c:s106294082300044x

DOI: 10.1016/j.najef.2023.101921

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