报告主题：Robust optimal reinsurance and investment strategies for an AAI with multiple risks
报告摘要：This paper studies the robust optimal reinsurance and investment problem for an ambiguity averse insurer (abbr. AAI). The AAI sells insurance contracts and has access to proportional reinsurance business. The AAI can invest in a financial market consisting of four assets: one risk-free asset, one bond, one inflation protected bond and one stock, and has different levels of ambiguity aversions towards the risks. The goal of the AAI is to seek the robust optimal reinsurance and investment strategies under the worst case scenario. Here, the nominal interest rate is characterized by the Vasicek model; the inflation index is introduced according to the Fisher’s equation; and the stock price is driven by the Heston’s stochastic volatility model. The explicit forms of the robust optimal strategies and value function are derived by introducing an auxiliary robust optimal control problem and stochastic dynamic programming method. In the end of this paper, a detailed sensitivity analysis is presented to show the effects of market parameters on the robust optimal reinsurance policy, the robust optimal investment strategy and the utility loss when ignoring ambiguity.
关键词：Robust optimal control, Proportional reinsurance, Investment, Stochastic inflation, Stochastic volatility
个人简介：关国卉，中国人民大学统计学院，风险管理与精算讲师。主要研究领域为保险精算、最优投资决策问题、养老资金管理等。已有多篇论文发表于保险精算顶尖期刊中，如《Insurance: Mathematics and Economics》、《Scandinavian Actuarial Journal》等。主持多项基金，包括国家自科青年项目，博士后面上基金等。
主持人简介：肖宇谷，中国人民大学统计学院副教授，中科院数学与系统科学研究院博士。主要研究方向: 随机精算模型、农业风险管理。论文曾在《China Agricultural Economic Review》、《Scandinavian Actuarial Journal》、《Quantitative Finance》上发表。曾为美国爱荷华大学和康涅迭戈大学访问学者。受聘为亚洲开发银行技援项目农业保险精算专家。