This paper concerns optimal investment problem with proportional transaction costs and finite time horizon based on exponential utility function. Using a partial differential equation approach, we reveal that the prob...This paper concerns optimal investment problem with proportional transaction costs and finite time horizon based on exponential utility function. Using a partial differential equation approach, we reveal that the problem is equivalent to a parabolic double obstacle problem involving two free boundaries that correspond to the optimal buying and selling policies. Numerical examples are obtained by the binomial method.展开更多
An optimal quota-share and excess-of-loss reinsurance and investment problem is studied for an insurer who is allowed to invest in a risk-free asset and a risky asset.Especially the price process of the risky asset is...An optimal quota-share and excess-of-loss reinsurance and investment problem is studied for an insurer who is allowed to invest in a risk-free asset and a risky asset.Especially the price process of the risky asset is governed by Heston's stochastic volatility(SV)model.With the objective of maximizing the expected index utility of the terminal wealth of the insurance company,by using the classical tools of stochastic optimal control,the explicit expressions for optimal strategies and optimal value functions are derived.An interesting conclusion is found that it is better to buy one reinsurance than two under the assumption of this paper.Moreover,some numerical simulations and sensitivity analysis are provided.展开更多
基金Supported by the Key Grant Project of Chinese Ministry of Education (NO.309018)National Natural Science Foundation of China (NO.70973104,NO.11171304)Zhejiang Provincial Natural Science Foundation of China (NO.Y6110023)
文摘This paper concerns optimal investment problem with proportional transaction costs and finite time horizon based on exponential utility function. Using a partial differential equation approach, we reveal that the problem is equivalent to a parabolic double obstacle problem involving two free boundaries that correspond to the optimal buying and selling policies. Numerical examples are obtained by the binomial method.
基金National Natural Science Foundation of China(No.62073071)Fundamental Research Funds for the Central Universities and Graduate Student Innovation Fund of Donghua University,China(No.CUSF-DH-D-2021045)。
文摘An optimal quota-share and excess-of-loss reinsurance and investment problem is studied for an insurer who is allowed to invest in a risk-free asset and a risky asset.Especially the price process of the risky asset is governed by Heston's stochastic volatility(SV)model.With the objective of maximizing the expected index utility of the terminal wealth of the insurance company,by using the classical tools of stochastic optimal control,the explicit expressions for optimal strategies and optimal value functions are derived.An interesting conclusion is found that it is better to buy one reinsurance than two under the assumption of this paper.Moreover,some numerical simulations and sensitivity analysis are provided.
