Optimal reinsurance-investment problem for an insurer and a reinsurer with jump-diffusion process
type: Item
instance of: scholarly article
title: Optimal reinsurance-investment problem for an insurer and a reinsurer with jump-diffusion process
zbMATH Open document ID: 1422.91357
DOI: 10.1155/2018/9424908
author: Hanlei Hu
author: Zheng Yin
author: Xiujuan Gao
published in: Discrete Dynamics in Nature and Society
publication date: 2019-02-20T00:00:00Z
review text: Summary: The optimal reinsurance-investment strategies considering the interests of both the insurer and reinsurer are investigated. The surplus process is assumed to follow a jump-diffusion process and the insurer is permitted to purchase proportional reinsurance from the reinsurer. Applying dynamic programming approach and dual theory, the corresponding Hamilton-Jacobi-Bellman equations are derived and the optimal strategies for exponential utility function are obtained. In addition, several sensitivity analyses and numerical illustrations in the case with exponential claiming distributions are presented to analyze the effects of parameters about the optimal strategies.
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60J75
zbMATH DE Number: 7026728
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2018/9424908
OpenAlex ID: W2801500663
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description: scientific article; zbMATH DE number 7026728