状态相依效用下的超额损失再保险--投资策略

doi:10.15960/j.cnki.issn.1007-6093.2016.01.009

Abstract

Abstract:

This paper studies an optimal excess-of-loss reinsurance and investment problem for an insurer, and aims to maximize the expected exponential utility from her terminal wealth with a state-dependent utility function. It is assumed that the surplus of the insurer and the financial market are modulated by an observable continuous-time Markov chain. By applying stochastic control theory, the explicit expression of optimal reinsurance-investment strategy is obtained. Finally, the impact of some parameters on the optimal strategy and optimal value function is given.

Key words: regime-switching, excess-of-loss reinsurance, state-dependent utility function, Hamilton-Jacobi-Bellman equation

GU Ailing, CHEN Shumin. Optimal excess-of-loss reinsurance and investment strategy under state-dependent utility function[J]. Operations Research Transactions, doi: 10.15960/j.cnki.issn.1007-6093.2016.01.009.

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Optimal excess-of-loss reinsurance and investment strategy under state-dependent utility function

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