کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
8901778 | 1631947 | 2018 | 28 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities
ترجمه فارسی عنوان
سرمایه گذاری بهینه و سرمایه گذاری مجدد و بیمه مجدد برای محصول خدمات بیمه گر و بیمه گران مجدد
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کلمات کلیدی
کنترل قوی، ناهماهنگی، ابزار مورد انتظار، بیمه مجدد معکوس، سرمایه گذاری،
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
چکیده انگلیسی
In this paper, we study a robust optimal reinsurance-investment problem for a general insurance company which holds shares of an insurance company and a reinsurance company. Assume that the claim process described by a Brownian motion with drift, the insurer can purchase proportional reinsurance, and both the insurer and the reinsurer can invest in a risk-free asset and a risky asset. Besides, the general insurance company's manager is an ambiguity-averse manager (AAM) who worries about model uncertainty in model parameters. The AAM's objective is to maximize the minimal expected product of the insurer's and the reinsurer's exponential utilities . By using techniques of stochastic control theory, we first derive the closed-form expressions of the optimal strategies and the corresponding value function, and then the verification theorem is given. Finally, we present numerical examples to illustrate the effects of model parameters on the optimal investment and reinsurance strategies, and analyze the utility losses from ignoring product utilities.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 344, 15 December 2018, Pages 532-552
Journal: Journal of Computational and Applied Mathematics - Volume 344, 15 December 2018, Pages 532-552
نویسندگان
Ya Huang, Yao Ouyang, Lingxiao Tang, Jieming Zhou,