Optimal Reinsurance-Investment Problem for an Insurer and a Reinsurer with Jump-Diffusion Process
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 program...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Wiley
2018-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2018/9424908 |
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| _version_ | 1832565755209580544 |
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| author | Hanlei Hu Zheng Yin Xiujuan Gao |
| author_facet | Hanlei Hu Zheng Yin Xiujuan Gao |
| author_sort | Hanlei Hu |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-edde5fdb4e544ea28cc1df94ee4a909f |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2018-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-edde5fdb4e544ea28cc1df94ee4a909f2025-02-03T01:06:54ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2018-01-01201810.1155/2018/94249089424908Optimal Reinsurance-Investment Problem for an Insurer and a Reinsurer with Jump-Diffusion ProcessHanlei Hu0Zheng Yin1Xiujuan Gao2School of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu 611130, ChinaSchool of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu 611130, ChinaSchool of Finance, Southwestern University of Finance and Economics, Chengdu 611130, ChinaThe 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.http://dx.doi.org/10.1155/2018/9424908 |
| spellingShingle | Hanlei Hu Zheng Yin Xiujuan Gao Optimal Reinsurance-Investment Problem for an Insurer and a Reinsurer with Jump-Diffusion Process Discrete Dynamics in Nature and Society |
| title | Optimal Reinsurance-Investment Problem for an Insurer and a Reinsurer with Jump-Diffusion Process |
| title_full | Optimal Reinsurance-Investment Problem for an Insurer and a Reinsurer with Jump-Diffusion Process |
| title_fullStr | Optimal Reinsurance-Investment Problem for an Insurer and a Reinsurer with Jump-Diffusion Process |
| title_full_unstemmed | Optimal Reinsurance-Investment Problem for an Insurer and a Reinsurer with Jump-Diffusion Process |
| title_short | Optimal Reinsurance-Investment Problem for an Insurer and a Reinsurer with Jump-Diffusion Process |
| title_sort | optimal reinsurance investment problem for an insurer and a reinsurer with jump diffusion process |
| url | http://dx.doi.org/10.1155/2018/9424908 |
| work_keys_str_mv | AT hanleihu optimalreinsuranceinvestmentproblemforaninsurerandareinsurerwithjumpdiffusionprocess AT zhengyin optimalreinsuranceinvestmentproblemforaninsurerandareinsurerwithjumpdiffusionprocess AT xiujuangao optimalreinsuranceinvestmentproblemforaninsurerandareinsurerwithjumpdiffusionprocess |