Optimal Time-Consistent Investment and Reinsurance Strategy Under Time Delay and Risk Dependent Model
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-20, 20 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-08-28
Country of Publication
Egypt
No. of Pages
20
Main Subjects
Abstract EN
In this paper, we consider the problem of investment and reinsurance with time delay under the compound Poisson model of two-dimensional dependent claims.
Suppose an insurance company controls the claim risk of two kinds of dependent insurance businesses by purchasing proportional reinsurance and invests its wealth in a financial market composed of a risk-free asset and a risk asset.
The risk asset price process obeys the geometric Brownian motion.
By introducing the capital flow related to the historical performance of the insurer, the wealth process described by stochastic delay differential equation (SDDE) is obtained.
The extended HJB equation is obtained by using the stochastic control theory under the framework of game theory.
Under the reinsurance expected premium principle, optimal time-consistent investment and reinsurance strategy and the corresponding value function are obtained.
Finally, the influence of model parameters on the optimal strategy is explained by numerical analysis.
American Psychological Association (APA)
Li, Sheng& He, Yong. 2020. Optimal Time-Consistent Investment and Reinsurance Strategy Under Time Delay and Risk Dependent Model. Mathematical Problems in Engineering،Vol. 2020, no. 2020, pp.1-20.
https://search.emarefa.net/detail/BIM-1202191
Modern Language Association (MLA)
Li, Sheng& He, Yong. Optimal Time-Consistent Investment and Reinsurance Strategy Under Time Delay and Risk Dependent Model. Mathematical Problems in Engineering No. 2020 (2020), pp.1-20.
https://search.emarefa.net/detail/BIM-1202191
American Medical Association (AMA)
Li, Sheng& He, Yong. Optimal Time-Consistent Investment and Reinsurance Strategy Under Time Delay and Risk Dependent Model. Mathematical Problems in Engineering. 2020. Vol. 2020, no. 2020, pp.1-20.
https://search.emarefa.net/detail/BIM-1202191
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1202191