This paper investigates the investment decision of insurers when there is ambiguous correlation between the financial market and the insurance business. The robust decision model that accommodates correlation ambiguity between a risky financial asset and the insurer’s non-tradable surplus is solved under the $G$-expectation framework. We find that correlation ambiguity leads to a more conservative investment strategy in financial assets, providing a plausible explanation for insurers’ under- or zero investment in the financial market during normal economic times. We also show that the range of priors set of correlation coefficients can be statistically inferred, and insurers will quit the financial market when the range of priors set exceeds a certain level, which is more likely to happen when the remaining investment horizon is long.

本文研究了当金融市场与保险业务之间存在模糊相关性时保险公司的投资决策。适应风险金融资产与保险公司非交易盈余之间相关性模糊性的稳健决策模型在以下条件下得到解决$G$-期望框架。我们发现，相关性模糊性导致金融资产的投资策略更加保守，这为保险公司在正常经济时期对金融市场的投资不足或为零提供了合理的解释。我们还表明，相关系数先验集的范围是可以统计推断的，当先验集范围超过一定水平时，保险公司将退出金融市场，当剩余投资期限较长时，这种情况更有可能发生。