Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps (Q2195957)

The paper focuses on an optimal excess-of-loss reinsurance and investment problem with delay and jumps for an insurer. The surplus process of the insurer is modeled as Brownian motion with drift. The insurer purchases excess-of-loss reinsurance and invest in a risk- free asset and a risky asset whose price is depicted as a jump-diffusion process. The question is: how the insurer can choose optimal reinsurance and investment strategy to maximize the expected exponential utility of terminal wealth? After defining the basic models involving the insurance structure under consideration, the optimal strategies and the related value function are obtained by means of a dynamic programming approach. Numerical evidences show that the proposed approach is apt to solve case studies of interest in practice.