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Robust Investment-Reinsurance Optimization with Multiscale Stochastic Volatility

Pun, Chi Seng - 2020

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...

Persistent link: https://www.econbiz.de/10012832645