Optimal reinsurance and investment in a diffusion model

DOI10.1007/S10203-019-00265-8zbMath1444.91191arXiv1903.12426OpenAlexW2978768525MaRDI QIDQ777940

Hanspeter Schmidli, Matteo Brachetta

Publication date: 8 July 2020

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.12426

zbMATH Keywords

Hamilton-Jacobi-Bellman equationexcess-of-loss reinsuranceoptimal reinsuranceproportional reinsuranceoptimal investmentSAHARA utility

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Actuarial mathematics (91G05)

Related Items (6)

Bayesian optimal investment and reinsurance with dependent financial and insurance risks ⋮ Optimal reinsurance and investment under common shock dependence between financial and actuarial markets ⋮ Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business ⋮ Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework ⋮ Robust reinsurance and investment strategies under principal-agent framework ⋮ Optimal proportional reinsurance and pairs trading under exponential utility criterion for the insurer

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