{"paper":{"title":"Robust Optimal Reinsurance, Investment,and Surplus Allocation for Epstein-Zin Preferences","license":"http://creativecommons.org/licenses/by/4.0/","headline":"","cross_cats":[],"primary_cat":"math.OC","authors_text":"Jianxuan Li, Junyi Guo, Qianqian Zhou","submitted_at":"2026-05-18T09:50:58Z","abstract_excerpt":"In this paper, we investigate the robust optimal reinsurance,investment,and internal surplus distribution (i.e., consumption) problem for an insurer with Epstein-Zin recursive preferences in an incomplete market. It is assumed that the insurer can allocate wealth to a financial market consisting of a risk-free asset and a risky asset, where the price process of the risky asset follows a diffusion process with a stochastic drift rate governed by an Ornstein-Uhlenbeck (O-U) process. For both the unit and non-unit elasticity of intertemporal substitution (EIS) cases, by applying the classical dyn"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2605.18145","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2605.18145/integrity.json","findings":[],"available":true,"detectors_run":[{"name":"claim_evidence","ran_at":"2026-05-19T23:41:59.101791Z","status":"completed","version":"1.0.0","findings_count":0},{"name":"ai_meta_artifact","ran_at":"2026-05-19T23:33:35.378546Z","status":"skipped","version":"1.0.0","findings_count":0}],"snapshot_sha256":"3ed79977b93edbc02ddaa3fc1865a032b199cba818acb72ad71ee3bc8fe7ed5c"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}