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Article: Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process

TitleOptimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
Authors
KeywordsBrownian motion
Compound Poisson process
Exponential utility
Filtering
Hamilton-Jacobi-Bellman equation
Investment
Ornstein-Uhlenbeck process
Partial observations
Proportional reinsurance
Stochastic control
Issue Date2011
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
Citation
Insurance: Mathematics And Economics, 2011, v. 49 n. 2, p. 207-215 How to Cite?
AbstractIn this paper, we study the optimal investment and proportional reinsurance strategy when an insurance company wishes to maximize the expected exponential utility of the terminal wealth. It is assumed that the instantaneous rate of investment return follows an Ornstein-Uhlenbeck process. Using stochastic control theory and Hamilton-Jacobi-Bellman equations, explicit expressions for the optimal strategy and value function are derived not only for the compound Poisson risk model but also for the Brownian motion risk model. Further, we investigate the partially observable optimization problem, and also obtain explicit expressions for the optimal results. © 2011 Elsevier B.V.
Persistent Identifierhttp://hdl.handle.net/10722/139735
ISSN
2015 Impact Factor: 1.378
2015 SCImago Journal Rankings: 1.000
ISI Accession Number ID
Funding AgencyGrant Number
National Natural Science Foundation of China10701082
Natural Science Foundation of the Jiangsu Higher Education Institutions of China09KJB110004
Funding Information:

The authors would like to thank the anonymous referees for their careful reading and helpful comments on an earlier version of this paper, which led to a considerable improvement of the presentation of the work. This work was supported by the National Natural Science Foundation of China (Grant No. 10701082) and the Natural Science Foundation of the Jiangsu Higher Education Institutions of China (Grant No. 09KJB110004).

References

 

DC FieldValueLanguage
dc.contributor.authorLiang, Zen_HK
dc.contributor.authorYuen, KCen_HK
dc.contributor.authorGuo, Jen_HK
dc.date.accessioned2011-09-23T05:54:50Z-
dc.date.available2011-09-23T05:54:50Z-
dc.date.issued2011en_HK
dc.identifier.citationInsurance: Mathematics And Economics, 2011, v. 49 n. 2, p. 207-215en_HK
dc.identifier.issn0167-6687en_HK
dc.identifier.urihttp://hdl.handle.net/10722/139735-
dc.description.abstractIn this paper, we study the optimal investment and proportional reinsurance strategy when an insurance company wishes to maximize the expected exponential utility of the terminal wealth. It is assumed that the instantaneous rate of investment return follows an Ornstein-Uhlenbeck process. Using stochastic control theory and Hamilton-Jacobi-Bellman equations, explicit expressions for the optimal strategy and value function are derived not only for the compound Poisson risk model but also for the Brownian motion risk model. Further, we investigate the partially observable optimization problem, and also obtain explicit expressions for the optimal results. © 2011 Elsevier B.V.en_HK
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/imeen_HK
dc.relation.ispartofInsurance: Mathematics and Economicsen_HK
dc.subjectBrownian motionen_HK
dc.subjectCompound Poisson processen_HK
dc.subjectExponential utilityen_HK
dc.subjectFilteringen_HK
dc.subjectHamilton-Jacobi-Bellman equationen_HK
dc.subjectInvestmenten_HK
dc.subjectOrnstein-Uhlenbeck processen_HK
dc.subjectPartial observationsen_HK
dc.subjectProportional reinsuranceen_HK
dc.subjectStochastic controlen_HK
dc.titleOptimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck processen_HK
dc.typeArticleen_HK
dc.identifier.emailYuen, KC: kcyuen@hku.hken_HK
dc.identifier.authorityYuen, KC=rp00836en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.insmatheco.2011.04.005en_HK
dc.identifier.scopuseid_2-s2.0-79956211116en_HK
dc.identifier.hkuros196536en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-79956211116&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume49en_HK
dc.identifier.issue2en_HK
dc.identifier.spage207en_HK
dc.identifier.epage215en_HK
dc.identifier.eissn1873-5959-
dc.identifier.isiWOS:000293157400005-
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridLiang, Z=16245015000en_HK
dc.identifier.scopusauthoridYuen, KC=7202333703en_HK
dc.identifier.scopusauthoridGuo, J=7404490037en_HK
dc.identifier.citeulike9249281-

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