Optimal Reinsurance and Investment Policies with the CEV Stock Market  

作　　者：Qi-cai LI Meng-di GU 

机构地区：[1]School of Mathematical Sciences,Nanjing Normal University [2]Antai College of Economics and Management,Shanghai Jiaotong University

出　　处：《Acta Mathematicae Applicatae Sinica》2016年第3期647-658,共12页应用数学学报（英文版）

基　　金：Supported by the NNSF of China(Grant Nos.11471165,61304065);the QinLan Project of Nanjing Normal University

摘　　要：In this paper, under the criterion of maximizing the expected exponential utility of terminal wealth, we study the optimal proportional reinsurance and investment policy for an insurer with the compound Poisson claim process. We model the price process of the risky asset to the constant elasticity of variance （for short, CEV） model, and consider net profit condition and variance reinsurance premium principle in our work. Using stochastic control theory, we derive explicit expressions for the optimal policy and value function. And some numerical examples are given.In this paper, under the criterion of maximizing the expected exponential utility of terminal wealth, we study the optimal proportional reinsurance and investment policy for an insurer with the compound Poisson claim process. We model the price process of the risky asset to the constant elasticity of variance （for short, CEV） model, and consider net profit condition and variance reinsurance premium principle in our work. Using stochastic control theory, we derive explicit expressions for the optimal policy and value function. And some numerical examples are given.

关 键 词：proportional reinsurance CEV model stochastic control Hamilton-Jacobi-Bellman equation exponential utility 

分 类 号：F831.51[经济管理—金融学]