arXiv
Open Access
2026
Robust Investment-Driven Insurance Pricing under Correlation Ambiguity
Shunzhi Pang
Abstrak
As insurers increasingly behave like financial intermediaries and actively participate in capital markets, understanding the dependence structure between insurance and financial risks becomes crucial for insurers' operations. This paper studies dynamic equilibrium insurance pricing when insurers face ambiguity about the correlation between insurance and financial risks and optimally choose underwriting and investment strategies under worst-case beliefs. Correlation ambiguity can generate multiple equilibrium regimes. Contrary to conventional intuition, we find ambiguity does not necessarily increase insurance prices nor reduce insurers' utility.
Topik & Kata Kunci
Penulis (1)
S
Shunzhi Pang
Akses Cepat
Informasi Jurnal
- Tahun Terbit
- 2026
- Bahasa
- en
- Sumber Database
- arXiv
- Akses
- Open Access ✓