OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT FOR A CONSTANT ELASTICITY OF VARIANCE MODEL UNDER VARIANCE PRINCIPLE

作     者：周杰明 邓迎春 黄娅 杨向群 

作者机构：School of Mathematical SciencesNankai University College of Mathematics and Computer ScienceKey Laboratory of High Performance Computing and Stochastic Information Processing Ministry of Education of ChinaHunan Normal University College of Business AdministrationHunan University 

出 版 物：《Acta Mathematica Scientia》 (数学物理学报（B辑英文版）)

年 卷 期：2015年第35卷第2期

页      面：303-312页

核心收录：

学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 1204[管理学-公共管理] 020208[经济学-统计学] 020204[经济学-金融学（含∶保险学）] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 120404[管理学-社会保障] 0701[理学-数学] 

基　　金：supported by the NSFC(11171101) 

主　　题：Constant elasticity of variance Hami!ton-Jacobi-Bellman equation jump-diffusion process exponential utility reinsurance 

摘      要：This article studies the optimal proportional reinsurance and investment problem under a constant elasticity of variance （CEV） model. Assume that the insurer＇s surplus process follows a jump-diffusion process, the insurer can purchase proportional reinsurance from the reinsurer via the variance principle and invest in a risk-free asset and a risky asset whose price is modeled by a CEV model. The diffusion term can explain the uncertainty associated with the surplus of the insurer or the additional small claims. The objective of the insurer is to maximize the expected exponential utility of terminal wealth. This optimization problem is studied in two cases depending on the diffusion term＇s explanation. In all cases, by using techniques of stochastic control theory, closed-form expressions for the value functions and optimal strategies are obtained.