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math.NA2022
Robust optimal investment and risk control for an insurer with general insider information
Chao Yu, Yuhan Cheng, Yilun Song
In this paper, we study the robust optimal investment and risk control problem for an insurer who owns the insider information about the financial market and the insurance market u…
math.NA2022
Malliavin calculus and its application to robust optimal portfolio for an insider
Chao Yu, Yuhan Cheng
Insider information and model uncertainty are two unavoidable problems for the portfolio selection theory in reality. This paper studies the robust optimal portfolio strategy for a…