Robust investment-reinsurance optimization with multiscale stochastic volatility

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<title>Robust investment-reinsurance optimization with multiscale stochastic volatility</title>
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<namePart>Seng Pun, Chi</namePart>
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<abstract displayLabel="Summary">This paper investigates the investment and reinsurance problem in the presence of stochastic volatility for an ambiguity-averse insurer (AAI) with a general concave utility function. The AAI concerns about model uncertainty and seeks for an optimal robust decision. We consider a Brownian motion with drift for the surplus of the AAI who invests in a risky asset following a multiscale stochastic volatility (SV) model. We formulate the robust optimal investment and reinsurance problem for a general class of utility functions under a general SV model. Applying perturbation techniques to the HamiltonJacobiBellmanIsaacs (HJBI) equation associated with our problem, we derive an investmentreinsurance strategy that well approximates the optimal strategy of the robust optimization problem under a multiscale SV model. We also provide a practical strategy that requires no tracking of volatility factors. Numerical study is conducted to demonstrate the practical use of theoretical results and to draw economic interpretations from the robust decision rules.</abstract>
<note type="statement of responsibility">Chi Seng Pun, Hoi Ying Wong</note>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
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<text>04/05/2015 Volumen 62 - mayo 2015 </text>
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