Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process

被引：84
作者：
Liang, Zhibin [1 ]
Yuen, Kam Chuen [2 ]
Guo, Junyi [3 ]
机构：
[1] Nanjing Normal Univ, Sch Math Sci, Nanjing 210046, Jiangsu, Peoples R China
[2] Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China
[3] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2011年 / 49卷 / 02期
基金：
中国国家自然科学基金;
关键词：
Stochastic control; Hamilton-Jacobi-Bellman equation; Ornstein-Uhlenbeck process; Compound Poisson process; Brownian motion; Exponential utility; Filtering; Partial observations; Proportional reinsurance; Investment; RISK PROCESS; RUIN PROBABILITIES; UTILITY;
D O I：
10.1016/j.insmatheco.2011.04.005
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we study the optimal investment and proportional reinsurance strategy when an insurance company wishes to maximize the expected exponential utility of the terminal wealth. It is assumed that the instantaneous rate of investment return follows an Ornstein-Uhlenbeck process. Using stochastic control theory and Hamilton-Jacobi-Bellman equations, explicit expressions for the optimal strategy and value function are derived not only for the compound Poisson risk model but also for the Brownian motion risk model. Further, we investigate the partially observable optimization problem, and also obtain explicit expressions for the optimal results. (C) 2011 Elsevier B.V. All rights reserved.
引用
收藏
页码：207 / 215
页数：9
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