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<p>This paper studies the optimal dividend-reinsurance-financing problem under the standard deviation premium principle in the presence of model uncertainty. The aim is to maximize the expected cumulative discounted dividends minus the equity issuance before bankruptcy and a penalization resulting from model ambiguity. Utilizing the robust control theory, we obtain the closed-form solutions of the optimal strategies as well as the related value functions for the risk model with model uncertainty. Finally, some numerical examples and interesting economic interpretations are presented.</p>

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Robust optimal dividend-reinsurance-financing problems under standard deviation premium principle

  • 期刊论文

  • 出版模式：

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  • 发表日期：

    2025年6月23日

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  • Peiguang Wang,
  • Wenli Wang,
  • Zihui Wang

摘要

This paper studies the optimal dividend-reinsurance-financing problem under the standard deviation premium principle in the presence of model uncertainty. The aim is to maximize the expected cumulative discounted dividends minus the equity issuance before bankruptcy and a penalization resulting from model ambiguity. Utilizing the robust control theory, we obtain the closed-form solutions of the optimal strategies as well as the related value functions for the risk model with model uncertainty. Finally, some numerical examples and interesting economic interpretations are presented.