Optimal proportional reinsurance and investment for a constant elasticity of variance model under variance principle

DOI10.1016/S0252-9602(15)60002-9MaRDI QIDQ902317zbMATH OpenFDO

Authors Yingchun Deng, Ya Huang, Jieming Zhou, Xiangqun Yang

Publication date 15 January 2016

Published in Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0252-9602(15)60002-9

zbMATH Keywords

constant elasticity of varianceexponential utilityHamilton-Jacobi-Bellman equationjump-diffusion processreinsurance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20)

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• Optimal proportional reinsurance and investment problem with constraints on risk control in a general jump-diffusion financial market
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• Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle
• Asymptotic solution of optimal reinsurance and investment problem with correlation risk for an insurer under the CEV model
• The equilibrium analysis on the insurance, reinsurance and investment in an Ornstein-Uhlenbeck model
• Optimal strategies for an ambiguity-averse insurer under a jump-diffusion model and defaultable risk
• Optimal investment policy for insurers under the constant elasticity of variance model with a correlated random risk process
• Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction
• Constant elasticity of variance model for proportional reinsurance and investment strategies
• Stackelberg stochastic differential game of insurer and reinsurer under mean-variance framework
• Heston model about optimal investment and proportional reinsurance strategies for an insurer
• Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities

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