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
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