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| 引用本文： | ŷ��,���,����Ⱥ,�ܽ���. ͨ�ͷ����µ�³������Ͷ��������ٱ��������о�[J]. 应用概率统计, 2016, 32(1): 89-100 |
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| 作者姓名： | ŷ�� ��� ����Ⱥ �ܽ��� |
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| 作者单位： | ????????????????????????, ??????????????????????????????????????????, ??????????????? |
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| 摘 要： |
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| 关 键 词： | 3?????? ??Ч?? ?????? ????? ??? |
Robust Optimal Portfolio and Reinsurance for an Insurer under Inflation Risk |
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| OU Hui,HUANG Ya,YANG Xiangqun,ZHOU Jieming. Robust Optimal Portfolio and Reinsurance for an Insurer under Inflation Risk[J]. Chinese Journal of Applied Probability and Statisties, 2016, 32(1): 89-100 |
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| Authors: | OU Hui HUANG Ya YANG Xiangqun ZHOU Jieming |
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| Affiliation: | College of Mathematics and Computer Sciences, Performance Computing and Stochastic Information Processing (Ministry of Education of China), Hunan Normal University; College of Business Administration, Hunan University |
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| Abstract: | ??In this paper, we investigate a robust optimal portfolio andreinsurance problem under inflation risk for an ambiguity-averse insurer (AAI), who worriesabout uncertainty in model parameters. We assume that the AAI is allowed to purchaseproportional reinsurance and invest his/her wealth in a financial market which consists ofa risk-free asset and a risky asset. The objective of the AAI is to maximize the minimalexpected power utility of terminal wealth. By using techniques of stochastic control theory,closed-form expressions for the value function and optimal strategies are obtained. |
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| Keywords: | robust control power utility portfolio reinsurance inflation |
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