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

Autor:	Dengfeng Xia, Weijie Yuan, Weiyin Fei
Jazyk:	angličtina
Rok vydání:	2019
Předmět:	Jump-diffusion model A-C case geometric Lévy process reinsurance-investment Control engineering systems. Automatic machinery (General) TJ212-225 Systems engineering TA168
Zdroj:	Systems Science & Control Engineering, Vol 7, Iss 3, Pp 13-19 (2019)
Druh dokumentu:	article
ISSN:	2164-2583 21642583
DOI:	10.1080/21642583.2019.1630685
Popis:	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 Lévy 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.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/712923d823df4f01bc03bdcd39e145f1 Zobrazit plný text záznamu View record in DOAJ