Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076549 | Insurance: Mathematics and Economics | 2013 | 25 Pages |
Abstract
In this paper, we study the optimal proportional reinsurance and investment strategy for an insurer that only has partial information at its disposal, under the criterion of maximizing the expected utility of the terminal wealth. We assume that the surplus of the insurer is governed by a jump diffusion process, and that reinsurance is used by the insurer to reduce risk. In addition, the insurer can invest in financial markets. We give a characterization for the optimal strategy within a non-Markovian setting. Malliavin calculus for Lévy processes is used for the analysis.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Xingchun Peng, Yijun Hu,