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Optimal Reinsurance-Investment Problem for an Insurer and a Reinsurer with Jump-Diffusion Process
Joint Authors
Yin, Zheng
Hu, Hanlei
Gao, Xiujuan
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-05-08
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
The optimal reinsurance-investment strategies considering the interests of both the insurer and reinsurer are investigated.
The surplus process is assumed to follow a jump-diffusion process and the insurer is permitted to purchase proportional reinsurance from the reinsurer.
Applying dynamic programming approach and dual theory, the corresponding Hamilton-Jacobi-Bellman equations are derived and the optimal strategies for exponential utility function are obtained.
In addition, several sensitivity analyses and numerical illustrations in the case with exponential claiming distributions are presented to analyze the effects of parameters about the optimal strategies.
American Psychological Association (APA)
Hu, Hanlei& Yin, Zheng& Gao, Xiujuan. 2018. Optimal Reinsurance-Investment Problem for an Insurer and a Reinsurer with Jump-Diffusion Process. Discrete Dynamics in Nature and Society،Vol. 2018, no. 2018, pp.1-12.
https://search.emarefa.net/detail/BIM-1152925
Modern Language Association (MLA)
Hu, Hanlei…[et al.]. Optimal Reinsurance-Investment Problem for an Insurer and a Reinsurer with Jump-Diffusion Process. Discrete Dynamics in Nature and Society No. 2018 (2018), pp.1-12.
https://search.emarefa.net/detail/BIM-1152925
American Medical Association (AMA)
Hu, Hanlei& Yin, Zheng& Gao, Xiujuan. Optimal Reinsurance-Investment Problem for an Insurer and a Reinsurer with Jump-Diffusion Process. Discrete Dynamics in Nature and Society. 2018. Vol. 2018, no. 2018, pp.1-12.
https://search.emarefa.net/detail/BIM-1152925
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1152925