文章基本信息

标题：Optimal Excess-of-Loss Reinsurance and Investment Problem for Insurers with Loss Aversion
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作者：Qingya Sun ; Ximin Rong ; Hui Zhao 等
期刊名称：Theoretical Economics Letters
印刷版ISSN：2162-2078
电子版ISSN：2162-2086
出版年度：2019
卷号：9
期号：4
页码：1129-1151
DOI：10.4236/tel.2019.94073
出版社：Scientific Research Publishing
摘要：This paper studies an optimal reinsurance and investment problem for a loss-averse insurer. The insurer’s goal is to choose the optimal strategy to maximize the expected S-shaped utility from the terminal wealth. The surplus process of the insurer is assumed to follow a classical Cramér-Lundberg (C-L) model and the insurer is allowed to purchase excess-of-loss reinsurance. Moreover, the insurer can invest in a risk-free asset and a risky asset. The dynamic problem is transformed into an equivalent static optimization problem via martingale approach and then we derive the optimal strategy in closed-form. Finally, we present some numerical simulation to illustrate the effects of market parameters on the optimal terminal wealth and the optimal strategy, and explain some economic phenomena from these results.
关键词：Loss Aversion;Excess-of-Loss Reinsurance;Martingale Approach;Investment;S-Shaped Utility