Optimal investment and premium control for insurers with ambiguity |
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Authors: | Bing Liu Peng Li |
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Institution: | 1. School of Insurance, Central University of Finance and Economics, Beijing, China;2. School of Finance, Nanjing University of Finance and Economics, Nanjing, China |
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Abstract: | AbstractIn this paper, we consider the optimal investment and premium control problem for insurers who worry about model ambiguity. Different from previous works, we assume that the insurer’s surplus process is described by a non-homogeneous compound Poisson model and the insurer has ambiguity on both the financial market and the insurance market. Our purpose is to find the impacts of model ambiguity on optimal policies. With the objective of maximizing the expected utility of terminal wealth, the closed-form solutions of the optimal investment and premium policies are obtained by solving HJB equations. Finally, numerical examples are also given to illustrate the results. |
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Keywords: | expected utility HJB equation model ambiguity optimal investment premium control |
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