荣喜民
- 教师拼音名称：Rong Ximin
- 出生日期：1963-09-06
- 性别：男
- 职称：副教授
- 所属院系：数学学院
The optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model
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- 所属单位:School of Sciences
- 发表刊物:IMA JOURNAL OF MANAGEMENT MATHEMATICS
- 刊物所在地:ENGLAND
- 关键字:optimal investment for a general insurance company; weighted sum of wealth; constant elasticity of v
- 摘要:This paper focuses on an optimal management problem for a general insurance company which contains an insurer and a reinsurer. The general company aims to maximize the expected exponential utility of the weighted sum of the insurer's and the reinsurer's terminal wealth. In our model, the basic claim process is assumed to follow a Brownian motion with drift. The insurer and the reinsurer are allowed to invest in a risk-free asset and a risky asset, respectively. The prices of risky assets are described by the constant elasticity of variance (CEV) models.
- 合写作者:Li Danping, Rong Ximin, ZHaohui
- 第一作者:Li Danping
- 论文类型:Unit Twenty Basic Research
- 通讯作者:Zhao Hui
- 论文编号:SCI:DJ5GX
- 卷号:27
- 期号:2
- 页面范围:255-280
- ISSN号:1471-678X
- 是否译文:否