scholarly journals Optimal reinsurance-investment problem with dependent risks based on Legendre transform

2020 ◽  
Vol 16 (3) ◽  
pp. 1457-1479 ◽  
Author(s):  
Yan Zhang ◽  
◽  
Peibiao Zhao ◽  
Keyword(s):  
Legendre Transform ◽  
Optimal Reinsurance ◽  
Investment Problem ◽  
Dependent Risks

scholarly journals Robust Optimal Excess-of-Loss Reinsurance and Investment Problem with Delay and Dependent Risks

2019 ◽  
Vol 2019 ◽  
pp. 1-21
Author(s):  
Yan Zhang ◽  
Peibiao Zhao
Keyword(s):  
Investment Strategy ◽  
Risky Asset ◽  
Exponential Utility ◽  
Heston Model ◽  
Verification Theorem ◽  
Terminal Wealth ◽  
Investment Problem ◽  
Dependent Risks ◽  
Insurance Business ◽  
Explicit Expressions

This paper investigates a robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks for an ambiguity-averse insurer (AAI). The AAI’s wealth process is assumed to be two dependent classes of insurance business. He/she can purchase excess-of-loss reinsurance from the reinsurer and invest in a risk-free asset and a risky asset whose price follows Heston model. We obtain the explicit expressions of the optimal excess-of-loss reinsurance and investment strategy by maximizing the expected exponential utility of AAI’s terminal wealth. Finally, we give the proof of the verification theorem. Our models and results posed here can be regarded as a generalization of the existing results in the literature.

Optimal reinsurance and investment problem in a defaultable market

2017 ◽  
Vol 47 (7) ◽  
pp. 1597-1614 ◽  
Author(s):  
Jianjing Ma ◽  
Guojing Wang ◽  
George Xianzhi Yuan
Keyword(s):  
Optimal Reinsurance ◽  
Investment Problem

scholarly journals Optimal Reinsurance-Investment Problem under Mean-Variance Criterion with n Risky Assets

2020 ◽  
Vol 2020 ◽  
pp. 1-16
Author(s):  
Peng Yang
Keyword(s):  
Financial Market ◽  
Investment Strategy ◽  
Hjb Equation ◽  
Model Parameters ◽  
Optimal Reinsurance ◽  
Risky Assets ◽  
Terminal Wealth ◽  
Investment Problem ◽  
Mean Variance ◽  
Variance Criterion

Based on the mean-variance criterion, this paper investigates the continuous-time reinsurance and investment problem. The insurer’s surplus process is assumed to follow Cramér–Lundberg model. The insurer is allowed to purchase reinsurance for reducing claim risk. The reinsurance pattern that the insurer adopts is combining proportional and excess of loss reinsurance. In addition, the insurer can invest in financial market to increase his wealth. The financial market consists of one risk-free asset and n correlated risky assets. The objective is to minimize the variance of the terminal wealth under the given expected value of the terminal wealth. By applying the principle of dynamic programming, we establish a Hamilton–Jacobi–Bellman (HJB) equation. Furthermore, we derive the explicit solutions for the optimal reinsurance-investment strategy and the corresponding efficient frontier by solving the HJB equation. Finally, numerical examples are provided to illustrate how the optimal reinsurance-investment strategy changes with model parameters.

Optimal reinsurance and investment problem for an insurer with counterparty risk

2015 ◽  
Vol 61 ◽  
pp. 242-254 ◽  
Author(s):  
Huiming Zhu ◽  
Chao Deng ◽  
Shengjie Yue ◽  
Yingchun Deng
Keyword(s):  
Counterparty Risk ◽  
Optimal Reinsurance ◽  
Investment Problem
Sign in / Sign up

Export Citation Format

Share Document