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Optimal Investment and Reinsurance for Insurers with Uncertain Time-Horizon
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-06-02
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
This paper considers the investment-reinsurance problems for an insurer with uncertain time-horizon in a jump-diffusion model and a diffusion-approximation model.
In both models, the insurer is allowed to purchase proportional reinsurance and invest in a risky asset, whose expected return rate and volatility rate are both dependent on time and a market state.
Meanwhile, the market state described by a stochastic differential equation will trigger the uncertain time-horizon.
Specifically, a barrier is predefined and reinsurance and investment business would be stopped if the market state hits the barrier.
The objective of the insurer is to maximize the expected discounted exponential utility of her terminal wealth.
By dynamic programming approach and Feynman-Kac representation theorem, we derive the expressions for optimal value functions and optimal investment-reinsurance strategies in two special cases.
Furthermore, an example is considered under the diffusion-approximation model, which shows some interesting results.
American Psychological Association (APA)
Gu, Ailing& Yi, Bo& Ye, Dezhu. 2014. Optimal Investment and Reinsurance for Insurers with Uncertain Time-Horizon. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-10.
https://search.emarefa.net/detail/BIM-459246
Modern Language Association (MLA)
Gu, Ailing…[et al.]. Optimal Investment and Reinsurance for Insurers with Uncertain Time-Horizon. Mathematical Problems in Engineering No. 2014 (2014), pp.1-10.
https://search.emarefa.net/detail/BIM-459246
American Medical Association (AMA)
Gu, Ailing& Yi, Bo& Ye, Dezhu. Optimal Investment and Reinsurance for Insurers with Uncertain Time-Horizon. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-10.
https://search.emarefa.net/detail/BIM-459246
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-459246