Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer
Considering the common interests of an insurer and a reinsurer, the optimal investment-reinsurance problem with derivatives trading is studied. Suppose that both parties would invest a stock and a risk-free asset for capital appreciation, the insurer could purchase reinsurance and trade derivatives,...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2022-10-01
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| Series: | Electronic Research Archive |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/era.2022234?viewType=HTML |