Robust optimal investment and reinsurance for an insurer with inside information

Peng, XC; Chen, FG; Wang, WY

Chen, FG (corresponding author), Wuhan Univ Technol, Sch Sci, Wuhan 430072, Peoples R China.

INSURANCE MATHEMATICS & ECONOMICS, 2021; 96 (): 15

Abstract

This paper studies a robust optimal investment-reinsurance problem for an insurer who possesses inside information on the financial market and the ins......

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