Optimal Investment and Proportional Reinsurance in a Regime-Switching Market Model under Forward Preferences

Optimal Investment and Proportional Reinsurance in a Regime-Switching Market Model under Forward Preferences

In this paper, we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial frameworks are dependent since stock prices and insurance cl...

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Bibliographic Details
Main Authors: Katia Colaneri, Alessandra Cretarola, Benedetta Salterini
Format: Article
Language:English
Published: MDPI AG 2021-07-01
Series:Mathematics
Subjects:
forward dynamic utility
optimal investment
optimal proportional reinsurance
stochastic factor-model
stochastic optimization
Online Access:https://www.mdpi.com/2227-7390/9/14/1610

Internet

https://www.mdpi.com/2227-7390/9/14/1610

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