Optimal reinsurance and investment for an insurer with the jump diffusion risk model in A-C case

被引：1

作者：

Xia, Dengfeng ^{[1
]}

Yuan, Weijie ^{[1
]}

Fei, Weiyin ^{[1
]}

机构：

[1] Anhui Polytech Univ, Sch Math & Phys, Wuhu, Peoples R China

来源：

SYSTEMS SCIENCE & CONTROL ENGINEERING | 2019年 / 7卷 / 03期

基金：

中国国家自然科学基金;

关键词：

Jump-diffusion model; A-C case; geometric Levy process; reinsurance-investment; PROPORTIONAL REINSURANCE; EXPONENTIAL UTILITY; STOCK-MARKET; STRATEGIES;

D O I：

10.1080/21642583.2019.1630685

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, we study the optimal reinsurance and investment problem for a class of jump-diffusion model, where the diffusion term represents the additional claims (i.e. A-C case). The insurer can purchase proportional reinsurance while allowing she/he to invest in a risk-free asset and a risky asset. The price process of the risky asset is driven by geometric Levy process with dividend payouts. Applying stochastic control theory, the corresponding Hamilton-Jacobi-Bellman equation is established and the optimal reinsurance-investment strategies to maximize the expected exponential utility of terminal wealth are also established. Finally, the optimal strategies are analysed by the numerical simulation.

引用

页码：13 / 19

页数：7

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