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Article: Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model
Title | Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model |
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Authors | |
Keywords | Cev Model Exponential Utility Investment Proportional Reinsurance Stochastic Control |
Issue Date | 2012 |
Publisher | John 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? |
Abstract | In 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 Identifier | http://hdl.handle.net/10722/172487 |
ISSN | 2023 Impact Factor: 1.3 2023 SCImago Journal Rankings: 0.452 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Liang, Z | en_US |
dc.contributor.author | Yuen, KC | en_US |
dc.contributor.author | Cheung, KC | en_US |
dc.date.accessioned | 2012-10-30T06:22:46Z | - |
dc.date.available | 2012-10-30T06:22:46Z | - |
dc.date.issued | 2012 | en_US |
dc.identifier.citation | Applied Stochastic Models In Business And Industry, 2012, v. 28 n. 6, p. 585-597 | en_US |
dc.identifier.issn | 1524-1904 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172487 | - |
dc.description.abstract | In 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.language | eng | en_US |
dc.publisher | John Wiley & Sons Ltd. The Journal's web site is located at http://www.interscience.wiley.com/jpages/1524-1904/ | en_US |
dc.relation.ispartof | Applied Stochastic Models in Business and Industry | en_US |
dc.subject | Cev Model | en_US |
dc.subject | Exponential Utility | en_US |
dc.subject | Investment | en_US |
dc.subject | Proportional Reinsurance | en_US |
dc.subject | Stochastic Control | en_US |
dc.title | Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yuen, KC: kcyuen@hku.hk | en_US |
dc.identifier.email | Cheung, KC: kccg@hku.hk | en_US |
dc.identifier.authority | Yuen, KC=rp00836 | en_US |
dc.identifier.authority | Cheung, KC=rp00677 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1002/asmb.934 | en_US |
dc.identifier.scopus | eid_2-s2.0-84871722413 | en_US |
dc.identifier.hkuros | 214731 | - |
dc.identifier.isi | WOS:000314974200010 | - |
dc.publisher.place | United Kingdom | en_US |
dc.identifier.scopusauthorid | Liang, Z=16245015000 | en_US |
dc.identifier.scopusauthorid | Yuen, KC=7202333703 | en_US |
dc.identifier.scopusauthorid | Cheung, KC=10038874000 | en_US |
dc.identifier.issnl | 1524-1904 | - |