Optimal reinsurance and investment in a diffusion model
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Publication:777940
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.
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Cited in
(13)- Robust reinsurance and investment strategies under principal-agent framework
- 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
- Bayesian optimal investment and reinsurance with dependent financial and insurance risks
- Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
- A Bayesian approach for optimal reinsurance and investment in a diffusion model
- Optimal investment and reinsurance problem with jump-diffusion model
- Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
- Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business
- Optimal investment and proportional reinsurance in the Sparre Andersen model
- Barrier present value maximization for a diffusion model of insurance surplus
- Optimal investment and premium control in a nonlinear diffusion model
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