| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 4631370 | Applied Mathematics and Computation | 2012 | 6 Pages |
Abstract
The paper concerns a problem of optimal reinsurance and investment in order to minimizing the probability of ruin. In the whole paper, the cedent’s surplus is allowed to invest in a risk-free asset and a risky asset and the company’s risk is reduced through proportional reinsurance, while in addition the claim process is assumed to follow a Brownian motion with drift. By solving the corresponding Hamilton–Jacobi–Bellman equations, the optimal reinsurance–investment strategy is derived. The presented results generalize those by Taksar [1].
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Cao Yusong, Zeng Xianquan,