Speaker
Mr
Bernard Effah Nyarko
(AIMS-GHANA)
Description
In this talk, we study a problem of optimal proportional, excess of loss
and investment strategy for an ambiguity averse insurer who is concern
with the misspecification errors and uncertainty around the fiscal model.
We assume that she insurer can invest in a risk-free and risky asset whose
price process follows a Heston stochastic volatility model. This problem
can be seen as a robust optimal control for the insurer. Using dynamic
programming, we obtain an explicit expression for optimal strategies when
the utility of exponential type. Numerical simulation are also performed
to study the sensitivity of the model parameters on the optimal control
and its economic implication.
Primary author
Mr
Bernard Effah Nyarko
(AIMS-GHANA)
