Constant Elasticity of Variance model for Pro-portional Reinsurance and Investment
Date
2010
Authors
Yipeng, Yang
Journal Title
Journal ISSN
Volume Title
Publisher
Insurance: Mathematics and Economics
Abstract
In our model, the insurer is allowed to buy reinsurance and invest in a risk-free asset and a risky asset. The claim process is assumed to follow a Brownian motion with drift, while the price process of the risky asset is described by the constant elasticity of variance (CEV) model. The Hamilton–Jacobi–Bellman (HJB) equation associated with the optimal reinsurance and investment strategies is established, and solutions are found for insurers with CRRA or CARRA utility.
Description
Keywords
Constant elasticity of variance Reinsurance Hamilton–Jacobi–Bellman equation Optimal strategies
Citation
10. Mengdi Gu, Yipeng Yang, Shoude Li and Jingyi Zhang, Constant elasticity of variance model for pro-portional reinsurance and investment strategies, Insurance: Mathematics and Economics, 46(3) 580-587, 2010