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Article: Optimal investment and reinsurance with premium control

TitleOptimal investment and reinsurance with premium control
Authors
Keywordsexponential utility
investment
optimal strategy
premium control
reinsurance
Issue Date2019
PublisherAmerican Institute of Mathematical Sciences. The Journal's web site is located at https://www.aimsciences.org/journal/1547-5816
Citation
Journal of Industrial and Management Optimization, 2019 How to Cite?
AbstractThis paper studies the optimal investment and reinsurance problem for a risk model with premium control. It is assumed that the insurance safety loading and the time-varying claim arrival rate are connected through a monotone decreasing function, and that the insurance and reinsurance safety loadings have a linear relationship. Applying stochastic control theory, we are able to derive the optimal strategy that maximizes the expected exponential utility of terminal wealth. We also provide a few numerical examples to illustrate the impact of the model parameters on the optimal strategy.
Persistent Identifierhttp://hdl.handle.net/10722/271286
ISSN
2017 Impact Factor: 0.994
2015 SCImago Journal Rankings: 0.639

 

DC FieldValueLanguage
dc.contributor.authorJiang, X-
dc.contributor.authorYuen, KC-
dc.contributor.authorChen, M-
dc.date.accessioned2019-06-24T01:06:58Z-
dc.date.available2019-06-24T01:06:58Z-
dc.date.issued2019-
dc.identifier.citationJournal of Industrial and Management Optimization, 2019-
dc.identifier.issn1547-5816-
dc.identifier.urihttp://hdl.handle.net/10722/271286-
dc.description.abstractThis paper studies the optimal investment and reinsurance problem for a risk model with premium control. It is assumed that the insurance safety loading and the time-varying claim arrival rate are connected through a monotone decreasing function, and that the insurance and reinsurance safety loadings have a linear relationship. Applying stochastic control theory, we are able to derive the optimal strategy that maximizes the expected exponential utility of terminal wealth. We also provide a few numerical examples to illustrate the impact of the model parameters on the optimal strategy.-
dc.languageeng-
dc.publisherAmerican Institute of Mathematical Sciences. The Journal's web site is located at https://www.aimsciences.org/journal/1547-5816-
dc.relation.ispartofJournal of Industrial and Management Optimization-
dc.rightsJournal of Industrial and Management Optimization. Copyright © American Institute of Mathematical Sciences.-
dc.rightsThis is a pre-copy-editing, author-produced PDF of an article accepted for publication in [insert journal title] following peer review. The definitive publisher-authenticated version [insert complete citation information here] is available online at: xxxxxxx [insert URL that the author will receive upon publication here].-
dc.subjectexponential utility-
dc.subjectinvestment-
dc.subjectoptimal strategy-
dc.subjectpremium control-
dc.subjectreinsurance-
dc.titleOptimal investment and reinsurance with premium control-
dc.typeArticle-
dc.identifier.emailYuen, KC: kcyuen@hku.hk-
dc.identifier.authorityYuen, KC=rp00836-
dc.description.naturelink_to_OA_fulltext-
dc.identifier.doi10.3934/jimo.2019080-
dc.identifier.hkuros298082-
dc.publisher.placeUnited States-

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