File Download

There are no files associated with this item.

  Links for fulltext
     (May Require Subscription)
Supplementary

Article: Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model

TitleOptimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model
Authors
KeywordsCev Model
Exponential Utility
Investment
Proportional Reinsurance
Stochastic Control
Issue Date2012
PublisherJohn Wiley & Sons Ltd. The Journal's web site is located at http://www.interscience.wiley.com/jpages/1524-1904/
Citation
Applied Stochastic Models In Business And Industry, 2012, v. 28 n. 6, p. 585-597 How to Cite?
AbstractIn this paper, we consider the jump-diffusion risk model with proportional reinsurance and stock price process following the constant elasticity of variance model. Compared with the geometric Brownian motion model, the advantage of the constant elasticity of variance model is that the volatility has correlation with the risky asset price, and thus, it can explain the empirical bias exhibited by the Black and Scholes model, such as volatility smile. Here, we study the optimal investment-reinsurance problem of maximizing the expected exponential utility of terminal wealth. By using techniques of stochastic control theory, we are able to derive the explicit expressions for the optimal strategy and value function. Numerical examples are presented to show the impact of model parameters on the optimal strategies. © 2011 John Wiley & Sons, Ltd.
Persistent Identifierhttp://hdl.handle.net/10722/172487
ISSN
2015 Impact Factor: 0.574
2015 SCImago Journal Rankings: 0.613
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorLiang, Zen_US
dc.contributor.authorYuen, KCen_US
dc.contributor.authorCheung, KCen_US
dc.date.accessioned2012-10-30T06:22:46Z-
dc.date.available2012-10-30T06:22:46Z-
dc.date.issued2012en_US
dc.identifier.citationApplied Stochastic Models In Business And Industry, 2012, v. 28 n. 6, p. 585-597en_US
dc.identifier.issn1524-1904en_US
dc.identifier.urihttp://hdl.handle.net/10722/172487-
dc.description.abstractIn this paper, we consider the jump-diffusion risk model with proportional reinsurance and stock price process following the constant elasticity of variance model. Compared with the geometric Brownian motion model, the advantage of the constant elasticity of variance model is that the volatility has correlation with the risky asset price, and thus, it can explain the empirical bias exhibited by the Black and Scholes model, such as volatility smile. Here, we study the optimal investment-reinsurance problem of maximizing the expected exponential utility of terminal wealth. By using techniques of stochastic control theory, we are able to derive the explicit expressions for the optimal strategy and value function. Numerical examples are presented to show the impact of model parameters on the optimal strategies. © 2011 John Wiley & Sons, Ltd.en_US
dc.languageengen_US
dc.publisherJohn Wiley & Sons Ltd. The Journal's web site is located at http://www.interscience.wiley.com/jpages/1524-1904/en_US
dc.relation.ispartofApplied Stochastic Models in Business and Industryen_US
dc.subjectCev Modelen_US
dc.subjectExponential Utilityen_US
dc.subjectInvestmenten_US
dc.subjectProportional Reinsuranceen_US
dc.subjectStochastic Controlen_US
dc.titleOptimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk modelen_US
dc.typeArticleen_US
dc.identifier.emailYuen, KC: kcyuen@hku.hken_US
dc.identifier.emailCheung, KC: kccg@hku.hken_US
dc.identifier.authorityYuen, KC=rp00836en_US
dc.identifier.authorityCheung, KC=rp00677en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1002/asmb.934en_US
dc.identifier.scopuseid_2-s2.0-84871722413en_US
dc.identifier.hkuros214731-
dc.identifier.isiWOS:000314974200010-
dc.publisher.placeUnited Kingdomen_US
dc.identifier.scopusauthoridLiang, Z=16245015000en_US
dc.identifier.scopusauthoridYuen, KC=7202333703en_US
dc.identifier.scopusauthoridCheung, KC=10038874000en_US

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats