文章基本信息

标题：Optimal Reinsurance-Investment Problem for an Insurer and a Reinsurer with Jump-Diffusion Process
本地全文：下载
作者：Hanlei Hu ; Zheng Yin ; Xiujuan Gao 等
期刊名称：Discrete Dynamics in Nature and Society
印刷版ISSN：1026-0226
电子版ISSN：1607-887X
出版年度：2018
卷号：2018
DOI：10.1155/2018/9424908
出版社：Hindawi Publishing Corporation
摘要：The optimal reinsurance-investment strategies considering the interests of both the insurer and reinsurer are investigated. The surplus process is assumed to follow a jump-diffusion process and the insurer is permitted to purchase proportional reinsurance from the reinsurer. Applying dynamic programming approach and dual theory, the corresponding Hamilton-Jacobi-Bellman equations are derived and the optimal strategies for exponential utility function are obtained. In addition, several sensitivity analyses and numerical illustrations in the case with exponential claiming distributions are presented to analyze the effects of parameters about the optimal strategies.