| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5077428 | Insurance: Mathematics and Economics | 2010 | 8 Pages |
Abstract
In our model, the insurer is allowed to buy reinsurance and invest in a risk-free asset and a risky asset. The claim process is assumed to follow a Brownian motion with drift, while the price process of the risky asset is described by the constant elasticity of variance (CEV) model. The Hamilton-Jacobi-Bellman (HJB) equation associated with the optimal reinsurance and investment strategies is established, and solutions are found for insurers with CRRA or CARRA utility.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Mengdi Gu, Yipeng Yang, Shoude Li, Jingyi Zhang,