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<p>In this paper, we consider the robust optimal investment-reinsurance problem of the insurer under the alpha-maxmin mean-variance criterion in the defaultable market. The financial market consists of a risk-free bond, a stock and a defaultable bond. The insurer’s surplus process is described by a Lévy model. From the perspective of game theory, the extended Hamilton-Jacobi-Bellman equations are established for the post-default and pre-default conditions respectively. In both cases, the closed-form expressions and corresponding value functions of the robust optimal investment reinsurance strategies are derived. Finally, numerical examples and sensitivity analysis are given to illustrate the influence of parameters on the optimal strategies.</p>

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Alpha-robust investment-reinsurance strategy for a mean-variance insurer under a defaultable market

  • 期刊论文

  • 发表日期：

    2025年9月16日

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  • E Zhang,
  • Yong He,
  • Lin He,
  • Zhuoshi Zhang,
  • Min Zhang,
  • Xueqi Luoyang

摘要

In this paper, we consider the robust optimal investment-reinsurance problem of the insurer under the alpha-maxmin mean-variance criterion in the defaultable market. The financial market consists of a risk-free bond, a stock and a defaultable bond. The insurer’s surplus process is described by a Lévy model. From the perspective of game theory, the extended Hamilton-Jacobi-Bellman equations are established for the post-default and pre-default conditions respectively. In both cases, the closed-form expressions and corresponding value functions of the robust optimal investment reinsurance strategies are derived. Finally, numerical examples and sensitivity analysis are given to illustrate the influence of parameters on the optimal strategies.