Optimal investment and reinsurance for insurers with uncertain time-horizon
type: Item
instance of: scholarly article
title: Optimal investment and reinsurance for insurers with uncertain time-horizon
zbMATH Open document ID: 1407.91137
DOI: 10.1155/2014/271930
author: Ailing Gu
author: Bo Yi
author: Dezhu Ye
published in: Mathematical Problems in Engineering
publication date: 2019-02-08T00:00:00Z
review text: Summary: This paper considers the investment-reinsurance problems for an insurer with uncertain time-horizon in a jump-diffusion model and a diffusion-approximation model. In both models, the insurer is allowed to purchase proportional reinsurance and invest in a risky asset, whose expected return rate and volatility rate are both dependent on time and a market state. Meanwhile, the market state described by a stochastic differential equation will trigger the uncertain time-horizon. Specifically, a barrier is predefined and reinsurance and investment business would be stopped if the market state hits the barrier. The objective of the insurer is to maximize the expected discounted exponential utility of her terminal wealth. By dynamic programming approach and Feynman-Kac representation theorem, we derive the expressions for optimal value functions and optimal investment-reinsurance strategies in two special cases. Furthermore, an example is considered under the diffusion-approximation model, which shows some interesting results.
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 90C39
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7016042
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2014/271930
OpenAlex ID: W2120036743
Wikidata QID: Q59065288
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description: scientific article; zbMATH DE number 7016042