Optimal investment and proportional reinsurance with constrained control variables

被引：27

作者：

Liang, Zhibin ^{[1
]}

Bai, Lihua ^{[2
]}

Guo, Junyi ^{[2
]}

机构：

[1] Nanjing Normal Univ, Sch Math Sci, Nanjing 210046, Jiangsu, Peoples R China

[2] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China

来源：

OPTIMAL CONTROL APPLICATIONS & METHODS | 2011年 / 32卷 / 05期

基金：

中国国家自然科学基金;

关键词：

Hamilton-Jacobi-Bellman equation; compound Poisson process; Brownian motion; exponential utility; proportional reinsurance; investment; RUIN PROBABILITIES; RISK PROCESS; INSURANCE;

D O I：

10.1002/oca.965

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this paper, under the criterion of maximizing the expected exponential utility from terminal wealth, we study the optimal investment and proportional reinsurance strategy for an insurance company. The closed-form expressions for the optimal strategy and value function are derived not only for the compound Poisson risk model but also for the Brownian motion model. We can see that, with normal constraints on the control variables, the value function is still a classical solution to the corresponding Hamilton-Jacobi-Bellman equation. Copyright (C) 2010 John Wiley & Sons, Ltd.

引用

页码：587 / 608

页数：22

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