Time-consistent proportional reinsurance and investment strategies under ambiguous environment
Sign Up to like & getrecommendations! Published in 2018 at "Insurance: Mathematics and Economics"
DOI: 10.1016/j.insmatheco.2018.09.007
Abstract: In this paper, we study the equilibrium proportional reinsurance and investment strategies for an insurer in an environment with parameter uncertainties. The insurer can buy proportional reinsurance business to hedge its insurance risks. However, the… read more here.
Keywords: time consistent; proportional reinsurance; investment strategies; reinsurance investment ... See more keywords
Optimal proportional reinsurance and investment for stochastic factor models
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DOI: 10.1016/j.insmatheco.2019.03.006
Abstract: In this work we investigate the optimal proportional reinsurance-investment strategy of an insurance company which wishes to maximize the expected exponential utility of its terminal wealth in a finite time horizon. Our goal is to… read more here.
Keywords: reinsurance; optimal proportional; proportional reinsurance; reinsurance investment ... See more keywords
Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance
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DOI: 10.1017/jpr.2021.68
Abstract: Abstract A diffusion approximation to a risk process under dynamic proportional reinsurance is considered. The goal is to minimise the discounted time in drawdown; that is, the time where the distance of the present surplus… read more here.
Keywords: optimal discounted; diffusion approximation; reinsurance; proportional reinsurance ... See more keywords
Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Industrial and Management Optimization"
DOI: 10.3934/jimo.2020143
Abstract: In this study, under the criterion of maximizing the expected exponential utility of terminal wealth, the optimal proportional reinsurance and investment strategy for an insurer is examined with the compound Poisson claim process. To make… read more here.
Keywords: proportional reinsurance; investment; reverting ornstein; process ... See more keywords