The authors consider a robust optimal reinsurance and investment problem in a risk model with two dependent classes of insurance business for an Ambiguity-Averse insurer(AAI).The insurer aims to minimize the goal-reac...The authors consider a robust optimal reinsurance and investment problem in a risk model with two dependent classes of insurance business for an Ambiguity-Averse insurer(AAI).The insurer aims to minimize the goal-reaching probability that the value of the wealth process reaches a low barrier before a high goal.Using the stochastic control approach based on the Hamilton-JacobiBellman(HJB)equation,the authors derive the robust optimal reinsurance and investment strategies,as well as the corresponding value function.The authors conclude that the robust optimal investmentreinsurance strategy coincides with the one without model ambiguity,but the value function differs.As a consequence,ignoring model uncertainty leads to significant value function loss for the AAI.Besides,it is worth noting that if the insurer has only one business,the sum of the degenerated value function and the one of(Luo,et al.,2019)is equal to 1 both for ambiguity and ambiguity-neutral.Finally,numerical examples are given to illustrate our results.展开更多
We study the counterparty risk for a credit default swap （CDS） in a regime-switching market driven by an underlying continuous-time Markov chain. We model the default dependence via some correlated Cox processes wit...We study the counterparty risk for a credit default swap （CDS） in a regime-switching market driven by an underlying continuous-time Markov chain. We model the default dependence via some correlated Cox processes with regime-switching shot noise intensities containing common shock. Under the proposed model, the general bilateral counterparty risk pricing formula for CDS contracts with the possibility of joint defaults is presented. Based on some expressions for the conditional Laplace transform of the integrated intensity processes, semi-analytical solution for the bilateral credit valuation adjustment （CVA） is derived. When the model parameters satisfy some conditions, explicit formula for the bilateral CVA at time 0 is also given.展开更多
基金supported by the Natural Science Foundation of Hunan Province under Grant No.2023JJ30381the Changsha Municipal Natural Science Foundation under Grant No.kq2208159+2 种基金the Humanities and Social Science Fund of Ministry of Education of China under Grant No.23YJC910008the Graduate Research and Innovation Project of Hunan Province under Grant No.CX20230241the Graduate Research and Innovation Project of Central South University under Grant No.1053320222639。
文摘The authors consider a robust optimal reinsurance and investment problem in a risk model with two dependent classes of insurance business for an Ambiguity-Averse insurer(AAI).The insurer aims to minimize the goal-reaching probability that the value of the wealth process reaches a low barrier before a high goal.Using the stochastic control approach based on the Hamilton-JacobiBellman(HJB)equation,the authors derive the robust optimal reinsurance and investment strategies,as well as the corresponding value function.The authors conclude that the robust optimal investmentreinsurance strategy coincides with the one without model ambiguity,but the value function differs.As a consequence,ignoring model uncertainty leads to significant value function loss for the AAI.Besides,it is worth noting that if the insurer has only one business,the sum of the degenerated value function and the one of(Luo,et al.,2019)is equal to 1 both for ambiguity and ambiguity-neutral.Finally,numerical examples are given to illustrate our results.
基金The authors thank the anonymous referees for valuable comments to improve the earlier version of the paper. The research of Yinghui Dong was supported by the Natural Science Foundation of Jiangsu Province （Grant No. BK20170064） and QingLan project. The research of Kam Chuen Yuen was supported by a grant from the Research Grants Council of the Hong Kong Special Administrative Region, China （Project No. HKU17329216）, and the CAE 2013 research grant from the Society of Actuaries-any opinions, finding, and conclusions or recommendations expressed in this material are those of the authors and do not necessarily reflect the views of the SOA. The research of Guojing Wang was supported by the National Natural Science Foundation of China （Grant No. 11371274）.
文摘We study the counterparty risk for a credit default swap （CDS） in a regime-switching market driven by an underlying continuous-time Markov chain. We model the default dependence via some correlated Cox processes with regime-switching shot noise intensities containing common shock. Under the proposed model, the general bilateral counterparty risk pricing formula for CDS contracts with the possibility of joint defaults is presented. Based on some expressions for the conditional Laplace transform of the integrated intensity processes, semi-analytical solution for the bilateral credit valuation adjustment （CVA） is derived. When the model parameters satisfy some conditions, explicit formula for the bilateral CVA at time 0 is also given.
