 Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk process under the Heston modelHui Zhao, Ximin Rong and Yonggan Zhao () Insurance: Mathematics and Economics, 2013, vol. 53, issue 3, 504-514 Abstract: In this paper, we study the optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk model. The insurer is allowed to purchase reinsurance and invest in one risk-free asset and one risky asset whose price process satisfies the Heston model. The objective of the insurer is to maximize the expected exponential utility of terminal wealth. By applying stochastic optimal control approach, we obtain the optimal strategy and value function explicitly. In addition, a verification theorem is provided and the properties of the optimal strategy are discussed. Finally, we present a numerical example to illustrate the effects of model parameters on the optimal investment–reinsurance strategy and the optimal value function. Keywords: Excess-of-loss reinsurance; Heston model; Jump–diffusion risk model; Hamilton–Jacobi–Bellman (HJB) equation; Investment; Stochastic volatility (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:53:y:2013:i:3:p:504-514 DOI: 10.1016/j.insmatheco.2013.08.004 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 |
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