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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Affiliation of Author(s):School of Science

Journal:JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

Place of Publication:NETHERLANDS

Key Words:Proportional reinsurance; Optimal investment; Product of exponential utilities; Constant elasticity

Abstract: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

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: 241XK

Volume:255

Issue:1

Page Number:671-683

ISSN No.:0377-0427

Translation or Not:no