Appendix.
Published in Figshare • Feb 28, 2025
NobleIDNI7P35W61R42S94
Authors:,
Lu Li (14069)
Zhijian Qiu (17427794)
Abstract
This paper investigates the optimal robust equilibrium investment and reinsurance strategy in a model with common shock dependent claims for an ambiguity-averse insurer (AAI). Suppose that the insurance company can purchase proportional reinsurance whose reinsurance premium is calculated by the expe...
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