On Optimal Proportional Reinsurance and Investment in a Markovian Regime-Switching Economy  

作　　者：Xin ZHANG Tak Kuen SIU 

机构地区：[1]School of Mathematical Sciences and LPMC,Nankai University,Tianjin 300071,P.R.China [2]Department of Actuarial Studies,Faculty of Business and Economics,Macquarie University,Sydney,NSW 2109,Australia

出　　处：《Acta Mathematica Sinica,English Series》2012年第1期67-82,共16页数学学报（英文版）

基　　金：supported by National Natural Science Foundation of China (Grant No.11001139);Fundamental Research Funds for the Central Universities (Grant No.65010771);Specialized Research Fund for the Doctoral Program of Higher Education (SRFDP Grant No.20100031120002);the second author is supported by the Discovery Grant from the Australian Research Council (ARC) (Project No.DP1096243)

摘　　要：In this paper, the surplus of an insurance company is modeled by a Markovian regime- switching diffusion process. The insurer decides the proportional reinsurance and investment so as to increase revenue. The regime-switching economy consists of a fixed interest security and several risky shares. The optimal proportional reinsurance and investment strategies with no short-selling constraints for maximizing an exponential utility on terminal wealth are obtained.In this paper, the surplus of an insurance company is modeled by a Markovian regime- switching diffusion process. The insurer decides the proportional reinsurance and investment so as to increase revenue. The regime-switching economy consists of a fixed interest security and several risky shares. The optimal proportional reinsurance and investment strategies with no short-selling constraints for maximizing an exponential utility on terminal wealth are obtained.

关 键 词：REINSURANCE regime-switching economy optimal investment short-selling constraints 

分 类 号：F840[经济管理—保险] F224[理学—概率论与数理统计] O211.62[理学—数学]