Optimal Reinsurance–Investment Strategy Based on Stochastic Volatility and the Stochastic Interest Rate Model
This paper studies insurance companies’ optimal reinsurance–investment strategy under the stochastic interest rate and stochastic volatility model, taking the HARA utility function as the optimal criterion. It uses arithmetic Brownian motion as a diffusion approximation of the insurer’s surplus proc...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-07-01
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| Series: | Axioms |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2075-1680/12/8/736 |