Robust Dividend and Reinsurance Strategy Under Model Uncertainty with Parisian Ruin

This article studies the robust dividend and reinsurance strategies for an ambiguity aversion insurer under model uncertainty with Parisian Ruin. The insurer controls its liquid reserves by purchasing proportional reinsurance and paying dividends. We consider model uncertainty and suppose that the insurer is ambiguous about the liquid reserves process, which is described by a class of equivalent probability measures. The objective of the insurer is to maximize the expected present value of the dividend payouts until the exponential Parisian ruin. A detailed proof of the verification theorem is presented for the robust singular-regular problem. When the robustness preference parameter is restricted to a limited range, we derive the closed-form solutions of the robust strategies. Numerical results are also presented to illustrate the impacts of the parameters on the robust control problem. Supplementary Material File (wileynjdv5_ama.pdf) - Download - 339.21 KB Information & Authors Information Version history Peer review timeline Published Communications in Statistics - Theory and Methods Version of Record8 Dec 2025Published Copyright This work is licensed under a Non Exclusive No Reuse License.

Authors Metrics & Citations Metrics Article Usage 134views 127downloads Citations Download citation Yongxia Zhao, Chuanxiu Ye, Mengjiao Huang. Robust Dividend and Reinsurance Strategy Under Model Uncertainty with Parisian Ruin. Authorea. 12 March 2025. DOI: https://doi.org/10.22541/au.174178656.62912210/v1 DOI: https://doi.org/10.22541/au.174178656.62912210/v1 If you have the appropriate software installed, you can download article citation data to the citation manager of your choice. Simply select your manager software from the list below and click Download. For more information or tips please see 'Downloading to a citation manager' in the Help menu.