Optimal investment and reinsurance for the insurer and reinsurer with the joint exponential utility under the CEV model

Optimal investment and reinsurance for the insurer and reinsurer with the joint exponential utility under the CEV model

This paper considers the problem of optimal investment-reinsurance for the insurer and reinsurer under the constant elasticity of variance (CEV) model. It is assumed that the net claims process is approximated by a diffusion process, both the insurer and reinsurer can invest in risk-free assets and...

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Bibliographic Details
Main Authors: Ling Chen, 2. School of Finance, Zhongnan University of Economics and Law, Nanhu Road, Wuhan 430073, China, Mi Chen
Format: Article
Language:English
Published: AIMS Press 2023-04-01
Series:AIMS Mathematics
Subjects:
investment
reinsurance
variance premium principle
net profit condition
cev model
joint exponential utility
Online Access:https://www.aimspress.com/article/doi/10.3934/math.2023786?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/math.2023786?viewType=HTML

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