Optimal proportional reinsurance and investment with minimum probability of ruin

被引：10

作者：

Cao Yusong ^{[1
]}

Zeng Xianquan ^{[1
]}

机构：

[1] Xuchang Univ, Coll Comp Sci & Technol, Xuchang 461000, Peoples R China

来源：

APPLIED MATHEMATICS AND COMPUTATION | 2012年 / 218卷 / 09期

关键词：

Proportional reinsurance; Hamilton-Jacobi-Bellman equation; Optimal reinsurance-investment strategy;

D O I：

10.1016/j.amc.2011.11.031

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

The paper concerns a problem of optimal reinsurance and investment in order to minimizing the probability of ruin. In the whole paper, the cedent's surplus is allowed to invest in a risk-free asset and a risky asset and the company's risk is reduced through proportional reinsurance, while in addition the claim process is assumed to follow a Brownian motion with drift. By solving the corresponding Hamilton-Jacobi-Bellman equations, the optimal reinsurance-investment strategy is derived. The presented results generalize those by Taksar [1]. (C) 2011 Elsevier Inc. All rights reserved.

引用

页码：5433 / 5438

页数：6

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