This paper considers a robust optimal reinsurance-investment problem for an insurer with mispricing and model ambiguity. The surplus process is described by a classical Cramér-Lunderg model and the financial mark...This paper considers a robust optimal reinsurance-investment problem for an insurer with mispricing and model ambiguity. The surplus process is described by a classical Cramér-Lunderg model and the financial market contains a market index, a risk-free asset and a pair of mispriced stocks, where the expected return rate of the stocks and the mispricing follow mean reverting processes which take into account liquidity constraints. In particular, both the insurance and reinsurance premium are assumed to be calculated via the variance premium principle. By employing the dynamic programming approach, we derive the explicit optimal robust reinsurance-investment strategy and the optimal value function.展开更多
This paper considers a proportional reinsurance-investment problem and an excess-of-loss reinsurance-investment problem for an insurer,where price processes of the risky assets and wealth process of the insurer are bo...This paper considers a proportional reinsurance-investment problem and an excess-of-loss reinsurance-investment problem for an insurer,where price processes of the risky assets and wealth process of the insurer are both described by Markovian regime switching.The target of the insurer is assumed to maximize the expected exponential utility from her terminal wealth with a state-dependent utility function.By employing the dynamic programming approach,the optimal value functions and the optimal reinsurance-investment strategies are derived.In addition,the impact of some parameters on the optimal strategies and the optimal value functions is analyzed,and lots of interesting results are discovered,such as the conclusion that excess-of-loss reinsurance is better than proportional reinsurance is not held in the regime-switching jump-diffusion model.展开更多
This paper studies the optimal investment problem for an insurer and a reinsurer. The basic claim process is assumed to follow a Brownian motion with drift and the insurer can purchase proportional reinsurance from th...This paper studies the optimal investment problem for an insurer and a reinsurer. The basic claim process is assumed to follow a Brownian motion with drift and the insurer can purchase proportional reinsurance from the reinsurer. The insurer and the reinsurer are allowed to invest in a risk-free asset and a risky asset. Moreover, the authors consider the correlation between the claim process and the price process of the risky asset. The authors first study the optimization problem of maximizing the expected exponential utility of terminal wealth for the insurer. Then with the optimal reinsurance strategy chosen by the insurer, the authors consider two optimization problems for the reinsurer： The problem of maximizing the expected exponential utility of terminal wealth and the problem of minimizing the ruin probability. By solving the corresponding Hamilton-Jacobi-Bellman equations, the authors derive the optimal reinsurance and investment strategies, explicitly. Finally, the authors illustrate the equality of the reinsurer＇s optimal investment strategies under the two cases.展开更多
文摘This paper considers a robust optimal reinsurance-investment problem for an insurer with mispricing and model ambiguity. The surplus process is described by a classical Cramér-Lunderg model and the financial market contains a market index, a risk-free asset and a pair of mispriced stocks, where the expected return rate of the stocks and the mispricing follow mean reverting processes which take into account liquidity constraints. In particular, both the insurance and reinsurance premium are assumed to be calculated via the variance premium principle. By employing the dynamic programming approach, we derive the explicit optimal robust reinsurance-investment strategy and the optimal value function.
基金supported by the National Natural Science Foundation of China under Grant Nos.71501050 and 71231008the National Science Foundation of Guangdong Province of China under Grant No.2014A030310195+1 种基金Guangdong Natural Science for Research Team under Grant No.2014A030312003Chinese Scholarship Council under Grant No.201508440324
文摘This paper considers a proportional reinsurance-investment problem and an excess-of-loss reinsurance-investment problem for an insurer,where price processes of the risky assets and wealth process of the insurer are both described by Markovian regime switching.The target of the insurer is assumed to maximize the expected exponential utility from her terminal wealth with a state-dependent utility function.By employing the dynamic programming approach,the optimal value functions and the optimal reinsurance-investment strategies are derived.In addition,the impact of some parameters on the optimal strategies and the optimal value functions is analyzed,and lots of interesting results are discovered,such as the conclusion that excess-of-loss reinsurance is better than proportional reinsurance is not held in the regime-switching jump-diffusion model.
基金supported by the National Natural Science Foundation of China under Grant Nos.11201335 and 11301376
文摘This paper studies the optimal investment problem for an insurer and a reinsurer. The basic claim process is assumed to follow a Brownian motion with drift and the insurer can purchase proportional reinsurance from the reinsurer. The insurer and the reinsurer are allowed to invest in a risk-free asset and a risky asset. Moreover, the authors consider the correlation between the claim process and the price process of the risky asset. The authors first study the optimization problem of maximizing the expected exponential utility of terminal wealth for the insurer. Then with the optimal reinsurance strategy chosen by the insurer, the authors consider two optimization problems for the reinsurer： The problem of maximizing the expected exponential utility of terminal wealth and the problem of minimizing the ruin probability. By solving the corresponding Hamilton-Jacobi-Bellman equations, the authors derive the optimal reinsurance and investment strategies, explicitly. Finally, the authors illustrate the equality of the reinsurer＇s optimal investment strategies under the two cases.
