Lin, Xiang; Zhang, Chunhong; Siu, Tak - In: Mathematical Methods of Operations Research 75 (2012) 1, pp. 83-100
We discuss an optimal portfolio selection problem of an insurer who faces model uncertainty in a jump-diffusion risk model using a game theoretic approach. In particular, the optimal portfolio selection problem is formulated as a two-person, zero-sum, stochastic differential game between the...
