In this paper, under the criterion of maximizing the expected exponential utility of terminal wealth, we study the optimal proportional reinsurance and investment policy for an insurer with the compound Poisson claim ...In this paper, under the criterion of maximizing the expected exponential utility of terminal wealth, we study the optimal proportional reinsurance and investment policy for an insurer with the compound Poisson claim process. We model the price process of the risky asset to the constant elasticity of variance （for short, CEV） model, and consider net profit condition and variance reinsurance premium principle in our work. Using stochastic control theory, we derive explicit expressions for the optimal policy and value function. And some numerical examples are given.展开更多
基金Supported by the NNSF of China(Grant Nos.11471165,61304065)the QinLan Project of Nanjing Normal University
文摘In this paper, under the criterion of maximizing the expected exponential utility of terminal wealth, we study the optimal proportional reinsurance and investment policy for an insurer with the compound Poisson claim process. We model the price process of the risky asset to the constant elasticity of variance （for short, CEV） model, and consider net profit condition and variance reinsurance premium principle in our work. Using stochastic control theory, we derive explicit expressions for the optimal policy and value function. And some numerical examples are given.
