We study the optimal proportional reinsurance and investment problem in a general jump-diffusion financial market. Assuming that the insurer’s surplus process follows a jump-diffusion process, the insurer can purchase proportional reinsurance from the reinsurer and invest in a risk-free asset and a risky asset, whose price is modelled by a general jump-diffusion process. The insurance company wishes to maximize the expected exponential utility of the terminal wealth. By using techniques of stochastic control theory, closed-form expressions for the value function and optimal strategy are obtained. A Monte Carlo simulation is conducted to illustrate that the closed-form expressions we derived are indeed the optimal strategies, and some numerical examples are presented to analyse the impact of model parameters on the optimal strategies. doi:10.1017/S1446181115000280
@article{8833,
title = {Optimal proportional reinsurance and investment problem with constraints on risk control in a general jump-diffusion financial market},
journal = {ANZIAM Journal},
volume = {56},
year = {2016},
doi = {10.21914/anziamj.v57i0.8833},
language = {EN},
url = {http://dml.mathdoc.fr/item/8833}
}
Zhu, Huiming; Huang, Ya; Zhou, Jieming; Yang, Xiangqun; Deng, Chao. Optimal proportional reinsurance and investment problem with constraints on risk control in a general jump-diffusion financial market. ANZIAM Journal, Tome 56 (2016) . doi : 10.21914/anziamj.v57i0.8833. http://gdmltest.u-ga.fr/item/8833/