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 excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
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- 所属单位:School of Sciences
- 发表刊物:INSURANCE MATHEMATICS & ECONOMICS
- 刊物所在地:NETHERLANDS
- 关键字:Excess-of-loss reinsurance; Heston model; Jump-diffusion risk model; Hamilton-Jacobi-Bellman (HJB) e
- 摘要:In this paper, we study the optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk model. The insurer is allowed to purchase reinsurance and invest in one risk-free asset and one risky asset whose price process satisfies the Heston model. The objective of the insurer is to maximize the expected exponential utility of terminal wealth. By applying stochastic optimal control approach, we obtain the optimal strategy and value function explicitly. In addition, a verification theorem is provided and the properties of the optimal strategy are discussed.
- 合写作者:Zhao Hui, Rong Ximin, Zhao Yonggan
- 第一作者:Zhao Hui
- 论文类型:Unit Twenty Basic Research
- 通讯作者:Zhao Hui
- 论文编号:SCI: 275ES
- 卷号:53
- 期号:3
- 页面范围:504-514
- ISSN号:0167-6687
- 是否译文:否