| In the field of actuarial insurance,reinsurance and investment are very hot research issues nowadays.How to make the optimal decision to spread risks and improve the benefits of insurance companies is also one of the contents that scholars focus on.Based on the classical risk model,this paper considers and studies the optimal reinsuranceinvestment problem for two types of insurance claim business with p-dependent structure.At the same time,this paper studies the corresponding robust optimization problem,and the optimal reinsurance-investment strategy is obtained.The rationality and effectiveness of the model proposed are proved by using numerical examples.Firstly,considering that there may be dependent relations between various types of insurance,and the insurer can control its business risks by buying proportional reinsurance and making investment.This paper studies the optimal proportional reinsurance-investment problem with p-thinning dependent risk under CEV model.Based on the diffusion approximation technique of compound Poisson risk model and the expected premium principle,the corresponding HJB equation is obtained by using the principle of dynamic programming,and the expression of the optimal strategy is calculated by Legendre transformation.Taking into account the abnormal fluctuation of the market or missing data will lead to model uncertainty,this paper assumes that both the insurer and the reinsurer are the ambiguityaverse,and establishes and systematically studies the robust optimal reinsurance-investment model.Under the condition that the wealth process adopts diffusion approximation model,the robust optimal reinsurance-investment strategy is obtained by using the robust optimization method and stochastic control theory.At the same time,the verification theorem and numerical analysis are given.The research in this paper enriches the existing conclusions on reinsurance and investment problems. |
