Optimal time-consistent investment and reinsurance strategy under time delay and risk dependent model
type: Item
instance of: scholarly article
title: Optimal time-consistent investment and reinsurance strategy under time delay and risk dependent model
zbMATH Open document ID: 1459.91162
DOI: 10.1155/2020/9368346
author: Yanyan Li
published in: Mathematical Problems in Engineering
publication date: 2020-10-12T00:00:00Z
review text: Summary: In this paper, we consider the problem of investment and reinsurance with time delay under the compound Poisson model of two-dimensional dependent claims. Suppose an insurance company controls the claim risk of two kinds of dependent insurance businesses by purchasing proportional reinsurance and invests its wealth in a financial market composed of a risk-free asset and a risk asset. The risk asset price process obeys the geometric Brownian motion. By introducing the capital flow related to the historical performance of the insurer, the wealth process described by stochastic delay differential equation (SDDE) is obtained. The extended HJB equation is obtained by using the stochastic control theory under the framework of game theory. Under the reinsurance expected premium principle, optimal time-consistent investment and reinsurance strategy and the corresponding value function are obtained. Finally, the influence of model parameters on the optimal strategy is explained by numerical analysis.
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 49L12
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7259688
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2020/9368346
OpenAlex ID: W3082514801
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description: scientific article; zbMATH DE number 7259688