Optimization problems of excess-of-loss reinsurance and investment under the CEV model
type: Item
instance of: scholarly article
title: Optimization problems of excess-of-loss reinsurance and investment under the CEV model
zbMATH Open document ID: 1263.91024
DOI: 10.1155/2013/383265
published in: ISRN Mathematical Analysis
publication date: 2013-05-31T00:00:00Z
review text: Summary: We consider that the insurer purchases excess-of-loss reinsurance and invests its wealth in the constant elasticity of variance (CEV) stock market. We model risk process by Brownian motion with drift and study the optimization problem of maximizing the exponential utility of terminal wealth under the controls of excess-of-loss reinsurance and investment. Using stochastic control theory and power transformation technique, we obtain explicit expressions for the optimal polices and value function. We also show that the optimal excess-of-loss reinsurance is always better than optimal proportional reinsurance. Some numerical examples are given.
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 6168888
zbMATH Keywords: value function
zbMATH Keywords: optimization problem
zbMATH Keywords: stock market
Wikidata QID: Q58995194
author: Qi-Cai Li
author: Meng-Di Gu
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2013/383265
OpenAlex ID: W2022190633
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description: scientific article; zbMATH DE number 6168888