文章基本信息

标题：Optimal Reinsurance and Investment Strategy Under CEV Model with Fractional Power Utility Function
本地全文：下载
作者：Maulana Malik ; Siti Sabariah Abas ; Mustafa Mamat 等
期刊名称：Engineering Letters
印刷版ISSN：1816-093X
电子版ISSN：1816-0948
出版年度：2020
卷号：28
期号：4
页码：1041-1046
语种：English
出版社：Newswood Ltd
摘要：This paper studies the optimal reinsurance and investment problem for insurance companies (insurers) with a fractional power utility function. Assuming that the insurer surplus process is approximated by Brownian motion with drift, the insurer may purchase reinsurance and invest the capital in a financial market consisting of risk-free asset and risk asset whose price is modeled by constant elasticity variance (CEV) model. The insurer’s objective is to maximize the expected fractional power utility from terminal wealth. The explicit expressions for optimal reinsurance-investment strategy and value function are determined by the stochastic approach, which uses the equations of Hamilton-Jacobi-Bellman. Finally, the numerical simulations are presented to show the effects of model parameters on the insurer’s optimal reinsurance and investment strategies.
关键词：Constant elasticity variance; fractional power utility; Hamilton-Jacobi-Bellman equation; reinsurance; insurer; surplus process; stochastic approach.