OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET

被引：5
|
作者：
Zhu, Huiming [1 ]
Huang, Ya [1 ]
Zhou, Jieming [2 ]
Yang, Xiangqun [2 ]
Deng, Chao [1 ]
机构：
[1] Hunan Univ, Coll Business Adm, Changsha 410082, Hunan, Peoples R China
[2] Hunan Normal Univ, Minist Educ China, Key Lab High Performance Comp & Stochast Informat, Coll Math & Comp Sci, Changsha 410081, Hunan, Peoples R China
来源：
ANZIAM JOURNAL | 2016年 / 57卷 / 03期
基金：
中国国家自然科学基金;
关键词：
jump-diffusion risk model; optimal investment strategy; proportional reinsurance; exponential utility; Hamilton-Jacobi-Bellman equation; EXPONENTIAL UTILITY; OPTIMAL PORTFOLIO; RUIN PROBABILITY; INSURER; ASSETS; MODEL;
D O I：
10.1017/S1446181115000280
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We study the optimal proportional reinsurance and investment problem in a general jump-diffusion financial market. Assuming that the insurer's surplus process follows a jump-diffusion process, the insurer can purchase proportional reinsurance from the reinsurer and invest in a risk-free asset and a risky asset, whose price is modelled by a general jump-diffusion process. The insurance company wishes to maximize the expected exponential utility of the terminal wealth. By using techniques of stochastic control theory, closed-form expressions for the value function and optimal strategy are obtained. A Monte Carlo simulation is conducted to illustrate that the closed-form expressions we derived are indeed the optimal strategies, and some numerical examples are presented to analyse the impact of model parameters on the optimal strategies.
引用
收藏
页码：352 / 368
页数：17
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