Optimal reinsurance and investment in a diffusion model

DOI10.1007/S10203-019-00265-8zbMATH Open1444.91191arXiv1903.12426OpenAlexW2978768525MaRDI QIDQ777940FDOQ777940

Hanspeter Schmidli, Matteo Brachetta

Publication date: 8 July 2020

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

Abstract: We consider a diffusion approximation to an insurance risk model where an external driver models a stochastic environment. The insurer can buy reinsurance. Moreover, investment in a financial market is possible. The financial market is also driven by the environmental process. Our goal is to maximise terminal expected utility. In particular, we consider the case of SAHARA utility functions. In the case of proportional and excess-of-loss reinsurance, we obtain explicit results.

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

zbMATH Keywords

Hamilton-Jacobi-Bellman equationproportional reinsuranceoptimal investmentoptimal reinsuranceexcess-of-loss reinsuranceSAHARA utility

Mathematics Subject Classification ID

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

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Cited In (12)

• Optimal investment and premium control in a nonlinear diffusion model
• Bayesian optimal investment and reinsurance with dependent financial and insurance risks
• Barrier present value maximization for a diffusion model of insurance surplus
• 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 investment and proportional reinsurance in the Sparre Andersen model
• Optimal investment and reinsurance problem with jump-diffusion model
• Asymptotic behavior of an optimal investment-reinsurance problem with general utility functions
• Optimal reinsurance/investment problems for general insurance models
• Optimal proportional reinsurance and pairs trading under exponential utility criterion for the insurer
• Robust reinsurance and investment strategies under principal-agent framework
• Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework

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