Optimal Reinsurance–Investment Strategy Based on Stochastic Volatility and the Stochastic Interest Rate Model

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...

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Bibliographic Details
Main Authors: Honghan Bei, Qian Wang, Yajie Wang, Wenyang Wang, Roberto Murcio
Format: Article
Language:English
Published: MDPI AG 2023-07-01
Series:Axioms
Subjects:
Cox–Ingersoll–Ross model
Heston model
variance premium principle
HARA utility
Online Access:https://www.mdpi.com/2075-1680/12/8/736

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