On Optimal Proportional Reinsurance and Investment in a Markovian Regime-Switching Economy

被引：0
|
作者：
Xin ZHANG [1 ]
Tak Kuen SIU [2 ]
机构：
[1] School of Mathematical Sciences and LPMC,Nankai University
[2] Department of Actuarial Studies,Faculty of Business and Economics,Macquarie University
来源：
Acta Mathematica Sinica,English Series | 2012年 / 01期
基金：
澳大利亚研究理事会; 中国国家自然科学基金;
关键词：
Reinsurance; regime-switching economy; optimal investment; short-selling constraints;
D O I：
暂无
中图分类号：
F840 [保险理论]; F224 [经济数学方法]; O211.62 [马尔可夫过程];
学科分类号：
020204 ; 020208 ; 0701 ; 070103 ; 070104 ; 0714 ; 120404 ;
摘要：
In this paper,the surplus of an insurance company is modeled by a Markovian regimeswitching diffusion process.The insurer decides the proportional reinsurance and investment so as to increase revenue.The regime-switching economy consists of a fixed interest security and several risky shares.The optimal proportional reinsurance and investment strategies with no short-selling constraints for maximizing an exponential utility on terminal wealth are obtained.
引用
收藏
页码：67 / 82
页数：16
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