Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model

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Affiliation of Author(s):School of Sciences

Journal:INSURANCE MATHEMATICS & ECONOMICS

Place of Publication:NETHERLANDS

Key Words:Excess-of-loss reinsurance; Heston model; Jump-diffusion risk model; Hamilton-Jacobi-Bellman (HJB) e

Abstract: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.

All the Authors:Zhao Hui, Rong Ximin, Zhao Yonggan

First Author:Zhao Hui

Indexed by:Unit Twenty Basic Research

Correspondence Author:Zhao Hui

Document Code:SCI: 275ES

Volume:53

Issue:3

Page Number:504-514

ISSN No.:0167-6687

Translation or Not:no