On optimal proportional reinsurance and investment in a Markovian regime-switching economy

被引：0
|
作者：
Xin Zhang
Tak Kuen Siu
机构：
[1] Nankai University,School of Mathematical Sciences and LPMC
[2] Macquarie University,Department of Actuarial Studies, Faculty of Business and Economics
来源：
Acta Mathematica Sinica, English Series | 2012年 / 28卷
关键词：
Reinsurance; regime-switching economy; optimal investment; short-selling constraints; 91B30; 91B28;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, the surplus of an insurance company is modeled by a Markovian regimeswitching diffusion process. The insurer decides the proportional reinsurance and investment so as to increase revenue. The regime-switching economy consists of a fixed interest security and several risky shares. The optimal proportional reinsurance and investment strategies with no short-selling constraints for maximizing an exponential utility on terminal wealth are obtained.
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页码：67 / 82
页数：15
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