Optimal Strategies for an Ambiguity-Averse Insurer under a Jump-Diffusion Model and Defaultable Risk
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DOI: 10.1155/2020/6207805
Abstract: In this paper, we consider a robust optimal investment-reinsurance problem with a default risk. The ambiguity-averse insurer (AAI) may carry out transactions on a risk-free asset, a stock, and a defaultable corporate bond. The stock’s… read more here.
Keywords: optimal strategies; jump diffusion; averse insurer; jump ... See more keywords