Optimal Dividend, Reinsurance, and Capital Injection for Collaborating Business Lines under Model Uncertainty
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摘要
We analyze an insurer with two collaborating business lines who jointly choose proportional reinsurance, dividend payouts and inter-line capital injections under model ambiguity. Using a diffusion reserve model and a relative-entropy penalty for model distortion, the paper derives closed-form value functions and feedback (Nash-equilibrium) strategies across three parameter regimes, shows the optimal dividend–capital rule is always a barrier strategy, and proves the optimal retained reinsurance and worst-case distortion decrease with aggregate reserves; numerical examples illustrate sensitivity to ambiguity-aversion [page::2][page::14].
