| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5077050 | Insurance: Mathematics and Economics | 2009 | 6 Pages |
Abstract
In the whole paper, the claim process is assumed to follow a Brownian motion with drift and the insurer is allowed to invest in a risk-free asset and a risky asset. In addition, the insurer can purchase the proportional reinsurance to reduce the risk. The paper concerns the optimal problem of maximizing the utility of terminal wealth. By solving the corresponding Hamilton-Jacobi-Bellman equations, the optimal strategies about how to purchase the proportional reinsurance and how to invest in the risk-free asset and risky asset are derived respectively.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Yusong Cao, Nianqing Wan,