Optimal reinsurance and investment for an insurer with the jump diffusion risk model in A-C case
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 as...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2019-09-01
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| Series: | Systems Science & Control Engineering |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/21642583.2019.1630685 |
| _version_ | 1828524635257307136 |
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| author | Dengfeng Xia Weijie Yuan Weiyin Fei |
| author_facet | Dengfeng Xia Weijie Yuan Weiyin Fei |
| author_sort | Dengfeng Xia |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-11T20:51:17Z |
| format | Article |
| id | doaj.art-712923d823df4f01bc03bdcd39e145f1 |
| institution | Directory Open Access Journal |
| issn | 2164-2583 |
| language | English |
| last_indexed | 2024-12-11T20:51:17Z |
| publishDate | 2019-09-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Systems Science & Control Engineering |
| spelling | doaj.art-712923d823df4f01bc03bdcd39e145f12022-12-22T00:51:13ZengTaylor & Francis GroupSystems Science & Control Engineering2164-25832019-09-0173131910.1080/21642583.2019.16306851630685Optimal reinsurance and investment for an insurer with the jump diffusion risk model in A-C caseDengfeng Xia0Weijie Yuan1Weiyin Fei2Anhui Polytechnic UniversityAnhui Polytechnic UniversityAnhui Polytechnic UniversityIn 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.http://dx.doi.org/10.1080/21642583.2019.1630685Jump-diffusion modelA-C casegeometric Lévy processreinsurance-investment |
| spellingShingle | Dengfeng Xia Weijie Yuan Weiyin Fei Optimal reinsurance and investment for an insurer with the jump diffusion risk model in A-C case Systems Science & Control Engineering Jump-diffusion model A-C case geometric Lévy process reinsurance-investment |
| title | Optimal reinsurance and investment for an insurer with the jump diffusion risk model in A-C case |
| title_full | Optimal reinsurance and investment for an insurer with the jump diffusion risk model in A-C case |
| title_fullStr | Optimal reinsurance and investment for an insurer with the jump diffusion risk model in A-C case |
| title_full_unstemmed | Optimal reinsurance and investment for an insurer with the jump diffusion risk model in A-C case |
| title_short | Optimal reinsurance and investment for an insurer with the jump diffusion risk model in A-C case |
| title_sort | optimal reinsurance and investment for an insurer with the jump diffusion risk model in a c case |
| topic | Jump-diffusion model A-C case geometric Lévy process reinsurance-investment |
| url | http://dx.doi.org/10.1080/21642583.2019.1630685 |
| work_keys_str_mv | AT dengfengxia optimalreinsuranceandinvestmentforaninsurerwiththejumpdiffusionriskmodelinaccase AT weijieyuan optimalreinsuranceandinvestmentforaninsurerwiththejumpdiffusionriskmodelinaccase AT weiyinfei optimalreinsuranceandinvestmentforaninsurerwiththejumpdiffusionriskmodelinaccase |