Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model

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Affiliation of Author(s):School of Sciences

Journal:COMPUTATIONAL & APPLIED MATHEMATICS

Place of Publication:GERMANY

Key Words:Optimal investment for a general insurance company; Weighted sum of wealth; Heston model; Jump-diffu

Abstract:This paper focuses on the optimal management problem for a general insurance company which holds shares of an insurance company and a reinsurance company. The general company aims to maximize the expected exponential utility of the weighted sum of the insurance company's and the reinsurance company's terminal wealth. In our model, the risk process is assumed to follow a jump-diffusion risk model in which the surplus process is a compound Poisson risk process perturbed by a diffusion.

All the Authors:Li Danping, Rong Ximin, ZHao Hui

First Author:Li Danping

Indexed by:Unit Twenty Basic Research

Correspondence Author:Zhao Hui

Document Code:SCI: DQ0YZ

Volume:35

Issue:2

Page Number:533-557

ISSN No.:0101-8205

Translation or Not:no