Optimal proportional reinsurance and investment with minimum probability of ruin

被引：7
|
作者：
Cao Yusong [1 ]
Zeng Xianquan [1 ]
机构：
[1] Xuchang Univ, Coll Comp Sci & Technol, Xuchang 461000, Peoples R China
来源：
APPLIED MATHEMATICS AND COMPUTATION | 2012年 / 218卷 / 09期
关键词：
Proportional reinsurance; Hamilton-Jacobi-Bellman equation; Optimal reinsurance-investment strategy;
D O I：
10.1016/j.amc.2011.11.031
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
The paper concerns a problem of optimal reinsurance and investment in order to minimizing the probability of ruin. In the whole paper, the cedent's surplus is allowed to invest in a risk-free asset and a risky asset and the company's risk is reduced through proportional reinsurance, while in addition the claim process is assumed to follow a Brownian motion with drift. By solving the corresponding Hamilton-Jacobi-Bellman equations, the optimal reinsurance-investment strategy is derived. The presented results generalize those by Taksar [1]. (C) 2011 Elsevier Inc. All rights reserved.
引用
收藏
页码：5433 / 5438
页数：6
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