基于Ornstein-Uhlenbeck过程下具有两个再保险公司的比例再保险与投资

Abstract

Abstract:

This paper studies the optimal reinsurance and investment problem with two reinsurance companies under two risk models. The insurance company purchases proportional reinsurance and invests in the financial market consisting of one risk-free asset and one risky asset, where the price of the risky asset is influenced by the Ornstein-Uhlenbeck process. Assuming that premiums for reinsurance are calculated according to the exponential premium principle, and the insurer's goal is to maximize the expected exponential utility of terminal wealth. Using stochastic control theory and HJB equation, the explicit expressions of the optimal strategy and value function are derived. Finally, the influence of model parameters on optimal strategy is verified by numerical analysis.

Key words: Ornstein-Uhlenbeck process, Exponential utility, Proportional reinsurance, Investment, Exponential premium principle

CLC Number:

O211.6

Huang ,Liu Haiyan,Chen Mi. Proportional Reinsurance and Investment Based on the Ornstein-Uhlenbeck Process in the Presence of Two Reinsurers[J].Acta mathematica scientia,Series A, 2023, 43(3): 957-969.

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References 32

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Proportional Reinsurance and Investment Based on the Ornstein-Uhlenbeck Process in the Presence of Two Reinsurers

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