In this paper,we consider an optimal investment and proportional reinsurance problem with delay,in which the insurer’s surplus process is described by a jump-diffusion model.The insurer can buy proportional reinsuran...In this paper,we consider an optimal investment and proportional reinsurance problem with delay,in which the insurer’s surplus process is described by a jump-diffusion model.The insurer can buy proportional reinsurance to transfer part of the insurance claims risk.In addition to reinsurance,she also can invests her surplus in a financial market,which is consisted of a risk-free asset and a risky asset described by Heston’s stochastic volatility(SV)model.Considering the performance-related capital flow,the insurer’s wealth process is modeled by a stochastic differential delay equation.The insurer’s target is to find the optimal investment and proportional reinsurance strategy to maximize the expected exponential utility of combined terminal wealth.We explicitly derive the optimal strategy and the value function.Finally,we provide some numerical examples to illustrate our results.展开更多
In this paper, we study the local bifurcation of critical periods near the nondegenerate center （the origin） of a class of Li@nard equations with degree 2n, and prove that at most 2n - 2 critical periods （taken int...In this paper, we study the local bifurcation of critical periods near the nondegenerate center （the origin） of a class of Li@nard equations with degree 2n, and prove that at most 2n - 2 critical periods （taken into account multiplicity） can be produced from a weak center of finite order. We also prove that it can have exactly 2n - 2 critical periods near the origin.展开更多
基金This research was supported by the National Natural Science Foundation of China(No.71801186)the Science Foundation of Ministry of Education of China(No.18YJC630001)the Natural Science Foundation of Guangdong Province of China(No.2017A030310660).
文摘In this paper,we consider an optimal investment and proportional reinsurance problem with delay,in which the insurer’s surplus process is described by a jump-diffusion model.The insurer can buy proportional reinsurance to transfer part of the insurance claims risk.In addition to reinsurance,she also can invests her surplus in a financial market,which is consisted of a risk-free asset and a risky asset described by Heston’s stochastic volatility(SV)model.Considering the performance-related capital flow,the insurer’s wealth process is modeled by a stochastic differential delay equation.The insurer’s target is to find the optimal investment and proportional reinsurance strategy to maximize the expected exponential utility of combined terminal wealth.We explicitly derive the optimal strategy and the value function.Finally,we provide some numerical examples to illustrate our results.
基金supported by the National Natural Science Foundation of China(No.11201086 and No.11301105)
文摘In this paper, we study the local bifurcation of critical periods near the nondegenerate center （the origin） of a class of Li@nard equations with degree 2n, and prove that at most 2n - 2 critical periods （taken into account multiplicity） can be produced from a weak center of finite order. We also prove that it can have exactly 2n - 2 critical periods near the origin.
