Optimal reinsurance and investment policies with the CEV stock market
Optimal reinsurance and investment policies with the CEV stock market
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DOI：
10.1007/s10255-016-0593-6
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发表时间：
2016-07
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通讯作者：
Qicai Li;Meng-di Gu
中科院分区：
文献类型：
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作者：
Qicai Li;Meng-di Gu
本文在最大化终端财富期望指数效用的准则下，研究了索赔过程为复合Poisson过程的保险公司的最优比例再保险和投资策略。我们将风险资产的价格过程建模为常数方差弹性（CEV）模型，并考虑了净利润条件和方差再保险保费原则。利用随机控制理论，我们推导出最优策略和价值函数的显式表达式。并给出了一些数值例子。
In this paper, under the criterion of maximizing the expected exponential utility of terminal wealth, we study the optimal proportional reinsurance and investment policy for an insurer with the compound Poisson claim process. We model the price process of the risky asset to the constant elasticity of variance (for short, CEV) model, and consider net profit condition and variance reinsurance premium principle in our work. Using stochastic control theory, we derive explicit expressions for the optimal policy and value function. And some numerical examples are given.