Ambiguity Aversion Type Insurance Company’s Optimal Re-insurance and Investment Strategy - Taking the Chinese Stock Market as an Example

The optimal reinsurance and investment strategy for insurers has always been a topic worthy of in-depth exploration. However, constrained by actuarial techniques and the uncertainty of financial markets, the ambiguity of insurers’ model estimates for financial markets and claims processes should not be overlooked. This paper assumes that insurers exhibit ambiguity aversion to financial markets and claims processes. Insurers, in the course of their operations, can purchase reinsurance to diversify risks and invest in risk assets and risk-free assets in the financial market to generate returns. The price process of risk assets follows the CEV model. Under these conditions, the paper provides analytical solutions for the insurer’s optimal investment strategy and optimal reinsurance to maximize the insurer’s terminal wealth utility objective. Additionally, the study incorporates parameter estimation from the Chinese stock market for numerical analysis.