Explicit Solution of Reinsurance-Investment Problem for an Insurer with Dynamic Income under Vasicek Model
Author
Source
Advances in Mathematical Physics
Issue
Vol. 2016, Issue 2016 (31 Dec. 2016), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2016-01-26
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
Unlike traditionally used reserves models, this paper focuses on a reserve process with dynamic income to study the reinsurance-investment problem for an insurer under Vasicek stochastic interest rate model.
The insurer’s dynamic income is given by the remainder after a dynamic reward budget being subtracted from the insurer’s net premium which is calculated according to expected premium principle.
Applying stochastic control technique, a Hamilton-Jacobi-Bellman equation is established and the explicit solution is obtained under the objective of maximizing the insurer’s power utility of terminal wealth.
Some economic interpretations of the obtained results are explained in detail.
In addition, numerical analysis and several graphics are given to illustrate our results more meticulous.
American Psychological Association (APA)
Sheng, De-Lei. 2016. Explicit Solution of Reinsurance-Investment Problem for an Insurer with Dynamic Income under Vasicek Model. Advances in Mathematical Physics،Vol. 2016, no. 2016, pp.1-13.
https://search.emarefa.net/detail/BIM-1095773
Modern Language Association (MLA)
Sheng, De-Lei. Explicit Solution of Reinsurance-Investment Problem for an Insurer with Dynamic Income under Vasicek Model. Advances in Mathematical Physics No. 2016 (2016), pp.1-13.
https://search.emarefa.net/detail/BIM-1095773
American Medical Association (AMA)
Sheng, De-Lei. Explicit Solution of Reinsurance-Investment Problem for an Insurer with Dynamic Income under Vasicek Model. Advances in Mathematical Physics. 2016. Vol. 2016, no. 2016, pp.1-13.
https://search.emarefa.net/detail/BIM-1095773
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1095773