The optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model

Hits:

Affiliation of Author(s):School of Sciences

Journal:IMA JOURNAL OF MANAGEMENT MATHEMATICS

Place of Publication:ENGLAND

Key Words:optimal investment for a general insurance company; weighted sum of wealth; constant elasticity of v

Abstract: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.

All the Authors:Li Danping, Rong Ximin, ZHaohui

First Author:Li Danping

Indexed by:Unit Twenty Basic Research

Correspondence Author:Zhao Hui

Document Code:SCI:DJ5GX

Volume:27

Issue:2

Page Number:255-280

ISSN No.:1471-678X

Translation or Not:no