Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation

Yusong Cao and Nianqing Wan

Insurance: Mathematics and Economics, 2009, vol. 45, issue 2, 157-162

Abstract: In the whole paper, the claim process is assumed to follow a Brownian motion with drift and the insurer is allowed to invest in a risk-free asset and a risky asset. In addition, the insurer can purchase the proportional reinsurance to reduce the risk. The paper concerns the optimal problem of maximizing the utility of terminal wealth. By solving the corresponding Hamilton-Jacobi-Bellman equations, the optimal strategies about how to purchase the proportional reinsurance and how to invest in the risk-free asset and risky asset are derived respectively.

Keywords: Proportional; reinsurance; Hamilton-Jacobi-Bellman; equation; Optimal; strategy (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (25)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-6687(09)00055-9
Full text for ScienceDirect subscribers only

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:eee:insuma:v:45:y:2009:i:2:p:157-162

Access Statistics for this article

Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().