Optimal Reinsurance-Investment Problem for an Insurer and a Reinsurer with Jump-Diffusion Process

被引：2
|
作者：
Hu, Hanlei [1 ]
Yin, Zheng [1 ]
Gao, Xiujuan [2 ]
机构：
[1] Southwestern Univ Finance & Econ, Sch Econ Math, Chengdu 611130, Sichuan, Peoples R China
[2] Southwestern Univ Finance & Econ, Sch Finance, Chengdu 611130, Sichuan, Peoples R China
来源：
DISCRETE DYNAMICS IN NATURE AND SOCIETY | 2018年 / 2018卷
关键词：
OPTIMAL PROPORTIONAL REINSURANCE; STOP-LOSS REINSURANCE; QUOTA-SHARE; PROBABILITY; RUIN; TREATIES;
D O I：
10.1155/2018/9424908
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
The optimal reinsurance-investment strategies considering the interests of both the insurer and reinsurerare investigated. The surplus process is assumed to follow a jump-diffusion process and the insurer is permitted to purchase proportional reinsurance from the reinsurer. Applying dynamic programming approach and dual theory, the corresponding Hamilton-Jacobi-Bellman equations are derived and the optimal strategies for exponential utility function are obtained. In addition, several sensitivity analyses and numerical illustrations in the case with exponential claiming distributions are presented to analyze the effects of parameters about the optimal strategies.
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收藏
页数：12
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