Optimal investment and proportional reinsurance in the Sparre Andersen model

DOI10.1007/S11424-012-0058-9zbMATH Open1269.93135OpenAlexW2015504096MaRDI QIDQ2391925FDOQ2391925

Authors Zhibin Liang, Junyi Guo

Publication date 5 August 2013

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-012-0058-9

zbMATH Keywords

proportional reinsuranceoptimal strategySparre Andersen modelmaximal adjustment coefficient

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic models in economics (91B70) Optimal stochastic control (93E20)

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• scientific article; zbMATH DE number 6135077

Cites work

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• Optimal proportional reinsurance and investment with transaction costs. I: Maximizing the terminal wealth
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• Optimal proportional reinsurance policies for diffusion models
• Ruin Probabilities for Two Classes of Risk Processes
• Upper bound for ruin probabilities under optimal investment and proportional reinsurance
• Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.

Cited in

(3)

• Optimal investment problem for an insurer and a reinsurer
• Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Andersen model.
• Optimal dividend and investment problems under Sparre Andersen model

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