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
Optimal investment problem for an insurer and a reinsurer
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- 所属单位:School of Sciences
- 发表刊物:JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
- 刊物所在地:China
- 关键字:Hamilton-Jacobi-Bellman equation; optimal reinsurance and investment strategies; proportional reinsu
- 摘要:This paper studies the optimal investment problem for an insurer and a reinsurer. The basic claim process is assumed to follow a Brownian motion with drift and the insurer can purchase proportional reinsurance from the reinsurer. The insurer and the reinsurer are allowed to invest in a risk-free asset and a risky asset. Moreover, the authors consider the correlation between the claim process and the price process of the risky asset. The authors first study the optimization problem of maximizing the expected exponential utility of terminal wealth for the insurer.
- 合写作者:Li Danping, Rong Ximin, Zhao Hui
- 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: CX7IM
- 卷号:28
- 期号:6
- 页面范围:1326-1343
- ISSN号:1009-6124
- 是否译文:否