Optimal reinsurance and investment policies with the CEV stock market

被引：2
|
作者：
Li, Qi-cai [1 ]
Gu, Meng-di [2 ]
机构：
[1] Nanjing Normal Univ, Sch Math Sci, Nanjing 210023, Jiangsu, Peoples R China
[2] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Shanghai 200052, Peoples R China
来源：
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES | 2016年 / 32卷 / 03期
关键词：
proportional reinsurance; CEV model; stochastic control; Hamilton-Jacobi-Bellman equation; exponential utility; OPTIMAL PROPORTIONAL REINSURANCE; LARGE INSURANCE PORTFOLIOS; PROBABILITY; RUIN;
D O I：
10.1007/s10255-016-0593-6
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, under the criterion of maximizing the expected exponential utility of terminal wealth, we study the optimal proportional reinsurance and investment policy for an insurer with the compound Poisson claim process. We model the price process of the risky asset to the constant elasticity of variance (for short, CEV) model, and consider net profit condition and variance reinsurance premium principle in our work. Using stochastic control theory, we derive explicit expressions for the optimal policy and value function. And some numerical examples are given.
引用
收藏
页码：647 / 658
页数：12
相关论文
共 50 条
  • [1] Optimal reinsurance and investment policies with the CEV stock market
    Qi-cai Li
    Meng-di Gu
    [J]. Acta Mathematicae Applicatae Sinica, English Series, 2016, 32 : 647 - 658
  • [2] Optimal Reinsurance and Investment Policies with the CEV Stock Market
    Qi-cai LI
    Meng-di GU
    [J]. Acta Mathematicae Applicatae Sinica, 2016, 32 (03) : 647 - 658
  • [3] Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
    Liang, Zhibin
    Yuen, Kam Chuen
    Guo, Junyi
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2011, 49 (02): : 207 - 215
  • [4] Optimal reinsurance and investment problem in a defaultable market
    Ma, Jianjing
    Wang, Guojing
    Yuan, George Xianzhi
    [J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2018, 47 (07) : 1597 - 1614
  • [5] OPTIMAL REINSURANCE AND INVESTMENT FOR A JUMP DIFFUSION RISK PROCESS UNDER THE CEV MODEL
    Lin, Xiang
    Li, Yanfang
    [J]. NORTH AMERICAN ACTUARIAL JOURNAL, 2011, 15 (03) : 417 - 431
  • [6] Optimal excess-of-loss reinsurance and investment polices under the CEV model
    Qicai Li
    Mengdi Gu
    Zhibing Liang
    [J]. Annals of Operations Research, 2014, 223 : 273 - 290
  • [7] Optimal excess-of-loss reinsurance and investment polices under the CEV model
    Li, Qicai
    Gu, Mengdi
    Liang, Zhibing
    [J]. ANNALS OF OPERATIONS RESEARCH, 2014, 223 (01) : 273 - 290
  • [8] Optimal investment and reinsurance policies for an insurer with ambiguity aversion
    Liu, Bing
    Meng, Hui
    Zhou, Ming
    [J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2021, 55
  • [9] Optimal Reinsurance and Investment Strategy Under CEV Model with Fractional Power Utility Function
    Malik, Maulana
    Abas, Siti Sabariah
    Mamat, Mustafa
    Sukono
    Prabowo, Agung
    [J]. ENGINEERING LETTERS, 2020, 28 (04) : 1041 - 1046
  • [10] Stochastic Differential Games on Optimal Investment and Reinsurance Strategy with Delay Under the CEV Model
    Bin, Ning
    Zhu, Huainian
    Zhang, Chengke
    [J]. METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2023, 25 (02)
12345