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Optimal investment and premium control for insurers with ambiguity

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  • Bing Liu
  • Ming Zhou
  • Peng Li

Abstract

In this paper, we consider the optimal investment and premium control problem for insurers who worry about model ambiguity. Different from previous works, we assume that the insurer’s surplus process is described by a non-homogeneous compound Poisson model and the insurer has ambiguity on both the financial market and the insurance market. Our purpose is to find the impacts of model ambiguity on optimal policies. With the objective of maximizing the expected utility of terminal wealth, the closed-form solutions of the optimal investment and premium policies are obtained by solving HJB equations. Finally, numerical examples are also given to illustrate the results.

Suggested Citation

  • Bing Liu & Ming Zhou & Peng Li, 2020. "Optimal investment and premium control for insurers with ambiguity," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 49(9), pages 2110-2130, May.
    • Handle: RePEc:taf:lstaxx:v:49:y:2020:i:9:p:2110-2130
    DOI: 10.1080/03610926.2019.1568487
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    Cited by:

    1. Zilan Liu & Yijun Wang & Ya Huang & Jieming Zhou, 2022. "Optimal Time-Consistent Investment and Premium Control Strategies for Insurers with Constraint under the Heston Model," Mathematics, MDPI, vol. 10(7), pages 1-22, March.

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