In this paper, we study optimal investment-reinsurance strategies for an insurer who faces model uncertainty. The insurer is allowed to acquire new business and invest into a financial market which consists of one risk-free asset and one risky asset whose price process is modeled by a Geometric Brownian motion. Minimizing the expected quadratic distance of the terminal wealth to a given benchmark under the “worst-case” scenario, we obtain the closed-form expressions of optimal strategies and the corresponding value function by solving the Hamilton-Jacobi-Bellman (HJB) equation. Numerical examples are presented to show the impact of model parameters on the optimal strategies.
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Abstract Determining the cause of unexplained death in all age groups, including infants, is a priority in forensic medicine. The triple r...
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Abstract Layer-by-layer (LbL) dip coating, accompanying with the use of micelle structure, allows hydrophobic molecules to be coated on me...
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Abstract In this paper we present the study of a skull belonging to a young male from the Italian Bronze Age showing three perimortem inju...
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Find out more about the wide range of A Levels and full time courses available at Longley Park Sixth Form College, the only independent Sixt...
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Abstract To measure integral doses in image-guided radiation therapy, we developed an integral condenser dosimeter comprising a disposable...
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Objectives. To assess the association between short-term postoperative cognitive dysfuction (POCD) and inflammtory response in patients unde...
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