Optimal investment problem for an insurer and a reinsurer

Hits:

Affiliation of Author(s):School of Sciences

Journal:JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY

Place of Publication:China

Key Words:Hamilton-Jacobi-Bellman equation; optimal reinsurance and investment strategies; proportional reinsu

Abstract: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.

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: CX7IM

Volume:28

Issue:6

Page Number:1326-1343

ISSN No.:1009-6124

Translation or Not:no