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Robust dividend, financing, and reinsurance strategies under model uncertainty with proportional transaction costs
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24510‎$a‎​Robust dividend, financing, and reinsurance strategies under model uncertainty with proportional transaction costs‎$c‎​Guohui Guan [et al.]
520  ‎$a‎​This article studies the robust dividend, financing, and reinsurance strategies for an ambiguity aversion insurer (AAI) under model uncertainty. The AAI controls its liquid reserves by purchasing proportional reinsurance, paying dividends, and issuing new equity. We consider model uncertainty and suppose that the AAI is ambiguous about the liquid reserves process, which is described by a class of equivalent probability measures. The objective of the AAI is to maximize the expected present value of the dividend payouts minus the discounted costs of issuing new equity before bankruptcy under the worst-case scenario. A detailed proof of the verification theorem is shown for the robust singular-regular problem. We obtain the explicit solutions of the robust strategies, which are classified into three cases. Numerical results are also presented to show the impacts of the ambiguity aversion coefficient, and the transaction cost factor
650 4‎$0‎​MAPA20080552367‎$a‎​Reaseguro ‌
650 4‎$0‎​MAPA20080562533‎$a‎​Financiación ‌
650 4‎$0‎​MAPA20080605957‎$a‎​Empresas de reaseguros ‌
650 4‎$0‎​MAPA20080591182‎$a‎​Gerencia de riesgos ‌
650 4‎$0‎​MAPA20080627904‎$a‎​Ciencias Actuariales y Financieras ‌
7730 ‎$w‎​MAP20077000239‎$g‎​06/06/2024 Volume 28 Number 2 - 2024 , p. 261-284‎$x‎​1092-0277‎$t‎​North American actuarial journal‎$d‎​Schaumburg : Society of Actuaries, 1997-
856  ‎$u‎​https://www.tandfonline.com/doi/full/10.1080/10920277.2023.2186430