Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 601-614
This paper considers a robust optimal reinsurance and investment problem under Heston’s Stochastic Volatility (SV) model for an Ambiguity-Averse Insurer (AAI), who worries about model misspecification and aims to find robust optimal strategies. The surplus process of the insurer is assumed to...