Optimal Reinsurance and Investment in a Diffusion Model

Matteo Brachetta and Hanspeter Schmidli

Papers from arXiv.org

Abstract: We consider a diffusion approximation to an insurance risk model where an external driver models a stochastic environment. The insurer can buy reinsurance. Moreover, investment in a financial market is possible. The financial market is also driven by the environmental process. Our goal is to maximise terminal expected utility. In particular, we consider the case of SAHARA utility functions. In the case of proportional and excess-of-loss reinsurance, we obtain explicit results.

Date: 2019-03
New Economics Papers: this item is included in nep-ias, nep-rmg and nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1903.12426

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