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Remarks on a Mathematical Model from the Theory of Optimal Investment
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作者 廉松哲 王光烈 +1 位作者 陈丽 伍卓群 《Northeastern Mathematical Journal》 CSCD 2001年第2期127-129,共3页
关键词 hamilton jacobi bellman equation parabolic Monge Ampère equation implicit function theorem
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Optimal Reinsurance and Investment Strategy with Delay in Heston’s SV Model 被引量:1
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作者 Chun-Xiang A Ai-Lin Gu Yi Shao 《Journal of the Operations Research Society of China》 EI CSCD 2021年第2期245-271,共27页
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
关键词 Proportional reinsurance Stochastic differential delay equation(SDDE) Heston’s stochastic volatility(SV)model hamiltonjacobibellman(HJB)equation
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