Finance

Arbitrage

Actuarial science

Investment (military)

Politics

Investment strategy

Financial economics

Risk aversion (psychology)

Mean reversion

Ambiguity aversion

Political science

Econometrics

Economics

Reinsurance

Market liquidity

Programming language

Expected utility hypothesis

Computer science

Ambiguity

Insurance Mathematics and Economics

This paper considers how to optimize reinsurance and investment decisions for an insurer who has aversion to model ambiguity, who wants to take into c…

Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing