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Abstract Taking the minimum ruin probability as the optimal measure, the paper brings the investment into the reinsurance, assume the market is divided into risk market and non - risk… Click to show full abstract
Abstract Taking the minimum ruin probability as the optimal measure, the paper brings the investment into the reinsurance, assume the market is divided into risk market and non - risk market, moreover, the insurance investment returns and the surplus captain are correlated stochastic process, the insurer buys the proportional reinsurance for risk-spreading. Applying stochastic control technique of jump diffusion, the paper gives the optimal reinsurance-investment strategy.
Keywords:
risk;
jump diffusion;
investment;
process;
investment reinsurance;
reinsurance
Journal Title: Journal of Interdisciplinary Mathematics
Year Published: 2017
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Journal Title: Journal of Interdisciplinary Mathematics
Year Published: 2017
Link to full text (if available)
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recommendations!