In this paper, we consider the optimal reinsurance and investment problem for the insurance company, where the insurer can purchase per-loss reinsurance and invest the surplus in a financial market, and the insurer’s claim liabilities and capital gains in financial market are negatively...

In this paper, we consider a robust optimal reinsurance problem with dependent risks for an ambiguity-averse/loving insurer to minimize the probability of absolute ruin involving the penalization of model ambiguity. Instead of the extreme ambiguity aversion towards one line of insurance business...

We show that the recent results on the Fundamental Theorem of Asset Pricing and the super-hedging theorem in the context of model uncertainty can be extended to the case in which the options available for static hedging (hedging options) are quoted with bid-ask spreads. In this set-up, we need...