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 reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model
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- 所属单位:School of Science
- 发表刊物:JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
- 刊物所在地:NETHERLANDS
- 关键字:Proportional reinsurance; Optimal investment; Product of exponential utilities; Constant elasticity
- 摘要:This paper studies the optimal reinsurance and investment problem considering both an insurer's utility and a reinsurer's utility. The claim process is assumed to follow a Brownian motion with drift, and the insurer can purchase proportional reinsurance from the reinsurer. The insurer is allowed to invest in a risk-free asset and a risky asset whose price satisfies the constant elasticity of variance (CEV) model. In addition, the reinsurer is allowed to invest in a risk-free asset to reduce the risk. Taking both the insurer and the reinsurer into account, this paper aims to maximize the expect
- 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: 241XK
- 卷号:255
- 期号:1
- 页面范围:671-683
- ISSN号:0377-0427
- 是否译文:否