Constant Elasticity of Variance model for Pro-portional Reinsurance and Investment

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dc.contributor.authorYipeng, Yang
dc.date.accessioned2020-04-24T17:07:17Z
dc.date.available2020-04-24T17:07:17Z
dc.date.issued2010
dc.description.abstractIn 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.en_US
dc.identifier.citation10. 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, 2010en_US
dc.identifier.urihttps://hdl.handle.net/10657.1/2290
dc.publisherInsurance: Mathematics and Economicsen_US
dc.subjectConstant elasticity of variance Reinsurance Hamilton–Jacobi–Bellman equation Optimal strategiesen_US
dc.titleConstant Elasticity of Variance model for Pro-portional Reinsurance and Investmenten_US
dc.typeArticleen_US

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