Optimal investment and reinsurance in a jump diffusion risk model
Lin, Xiang ; Yang, Peng
ANZIAM Journal, Tome 52 (2012), / Harvested from Australian Mathematical Society
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We consider an insurance company whose surplus is governed by a jump diffusion risk process. The insurance company can purchase proportional reinsurance for claims and invest its surplus in a risk-free asset and a risky asset whose return follows a jump diffusion process. Our main goal is to find an optimal investment and proportional reinsurance policy which maximizes the expected exponential utility of the terminal wealth. By solving the corresponding Hamilton–Jacobi–Bellman equation, closed-form solutions for the value function as well as the optimal investment and proportional reinsurance policy are obtained. We also discuss the effects of parameters on the optimal investment and proportional reinsurance policy by numerical calculations. doi:10.1017/S144618111100068X

Publié le : 2012-01-01
DOI : https://doi.org/10.21914/anziamj.v52i0.2832 
@article{2832,
     title = {Optimal investment and reinsurance in a jump diffusion risk model},
     journal = {ANZIAM Journal},
     volume = {52},
     year = {2012},
     doi = {10.21914/anziamj.v52i0.2832},
     language = {EN},
     url = {http://dml.mathdoc.fr/item/2832}
}

Lin, Xiang; Yang, Peng. Optimal investment and reinsurance in a jump diffusion risk model. ANZIAM Journal, Tome 52 (2012) . doi : 10.21914/anziamj.v52i0.2832. http://gdmltest.u-ga.fr/item/2832/