Optimal reinsurance and investment in a diffusion model

被引：10

作者：

Brachetta, Matteo ^{[1
]}

Schmidli, Hanspeter ^{[2
]}

机构：

[1] Univ G dAnnunzio, Dept Econ, Viale Pindaro 42, I-65127 Pescara, Italy

[2] Univ Cologne, Inst Math, Weyertal 86-90, D-20135 Cologne, Germany

来源：

DECISIONS IN ECONOMICS AND FINANCE | 2020年 / 43卷 / 01期

关键词：

Optimal reinsurance; Optimal investment; Hamilton-Jacobi-Bellman equation; SAHARA utility; Proportional reinsurance; Excess-of-loss reinsurance; PROBABILITY; RUIN;

D O I：

10.1007/s10203-019-00265-8

中图分类号：

O1 [数学]; C [社会科学总论];

学科分类号：

03 ; 0303 ; 0701 ; 070101 ;

摘要：

We consider a diffusion approximation to an insurance risk model where an external driver models a stochastic environment. The insurer can buy reinsurance. Moreover, it is possible to invest in a financial market that depends on the insurance market. The financial market is also driven by the environmental process. Our goal is to maximise terminal expected utility. In particular, we consider the case of SAHARA utility functions. In the case of proportional and excess-of-loss reinsurance, we obtain explicit results.

引用

页码：341 / 361

页数：21

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