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Zeng, Y., Li, D., Chen, Z. and Yang, Z. (2018) Ambiguity Aversion and Optimal Derivative-Based Pension Investment with Stochastic Income and Volatility. Journal of Economic Dynamics and Control, 88, 70-103.

has been cited by the following article:

• TITLE: Optimal Investment-Reinsurance Strategies for Insurers with Mean-Reversion and Mispricing under Variance Premium Principle

  AUTHORS: Yuzhen Wen

  KEYWORDS: Proportional Reinsurance, Robust Control, Optimal Investment Strategy, Utility Function, Mispricing

  JOURNAL NAME: Applied Mathematics, Vol.9 No.7, July 25, 2018

  ABSTRACT: This paper considers a robust optimal reinsurance-investment problem for an insurer with mispricing and model ambiguity. The surplus process is described by a classical Cramér-Lunderg model and the financial market contains a market index, a risk-free asset and a pair of mispriced stocks, where the expected return rate of the stocks and the mispricing follow mean reverting processes which take into account liquidity constraints. In particular, both the insurance and reinsurance premium are assumed to be calculated via the variance premium principle. By employing the dynamic programming approach, we derive the explicit optimal robust reinsurance-investment strategy and the optimal value function.