Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process |
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Authors: | Zhibin Liang Kam Chuen YuenJunyi Guo |
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Institution: | a School of Mathematical Sciences, Nanjing Normal University, Jiangsu 210046, Chinab Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kongc School of Mathematical Sciences, Nankai University, Tianjin 300071, China |
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Abstract: | In this paper, we study the optimal investment and proportional reinsurance strategy when an insurance company wishes to maximize the expected exponential utility of the terminal wealth. It is assumed that the instantaneous rate of investment return follows an Ornstein-Uhlenbeck process. Using stochastic control theory and Hamilton-Jacobi-Bellman equations, explicit expressions for the optimal strategy and value function are derived not only for the compound Poisson risk model but also for the Brownian motion risk model. Further, we investigate the partially observable optimization problem, and also obtain explicit expressions for the optimal results. |
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Keywords: | 93E20 91B30 |
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