Constant elasticity of variance model for proportional reinsurance and investment strategies |
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| Authors: | Mengdi Gu Yipeng Yang Jingyi Zhang |
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| Institution: | a Antai College of Economics and Management, Shanghai Jiao Tong University, Shanghai 200052, China
b Department of Control Theory and Engineering, Shanghai Jiao Tong University, Shanghai, 200240, China |
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| 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. |
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| Keywords: | G11 C61 |
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