کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077166 1374120 2008 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
چکیده انگلیسی

In this paper, the basic claim process is assumed to follow a Brownian motion with drift. In addition, the insurer is allowed to invest in a risk-free asset and n risky assets and to purchase proportional reinsurance. Under the constraint of no-shorting, we consider two optimization problems: the problem of maximizing the expected exponential utility of terminal wealth and the problem of minimizing the probability of ruin. By solving the corresponding Hamilton-Jacobi-Bellman equations, explicit expressions for their optimal value functions and the corresponding optimal strategies are obtained. In particular, when there is no risk-free interest rate, the results indicate that the optimal strategies, under maximizing the expected exponential utility and minimizing the probability of ruin, are equivalent for some special parameter. This validates Ferguson's longstanding conjecture about the relation between the two problems.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 42, Issue 3, June 2008, Pages 968-975
نویسندگان
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