Optimal investment-reinsurance policy under a long-term perspective

Xiaoxiao Zheng and Xin Zhang

Papers from arXiv.org

Abstract: In this paper, we assume an insure is allowed to purchase proportional reinsurance and can invest his or her wealth into the financial market where a savings account, stocks and bonds are available. Different from classical optimal investment and reinsurance problem, this paper studies the insurer's long-term investment decision. Under this setting, our model consider the interest risk and the inflation risk. Specifically, we suppose the interest rate follows a stochastic process, while price index is described by a classical model. By solving Hamilton-Jacobi-Bellman equation, the closed-form expression of the optimal policy is obtained. Further, we prove the corresponding verification theorem without the usual Lipschitz condition. In the end, numerical examples are made to illustrate the difference of the optimal polices under Ho-lee model and Vasicek model.

Date: 2014-06
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1406.7604 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1406.7604

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().