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