Optimal proportional reinsurance and investment with minimum probability of ruin |
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Authors: | Cao Yusong Zeng Xianquan |
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Institution: | College of Computer Science and Technology, Xuchang University, Xuchang 461000, China |
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Abstract: | The paper concerns a problem of optimal reinsurance and investment in order to minimizing the probability of ruin. In the whole paper, the cedent’s surplus is allowed to invest in a risk-free asset and a risky asset and the company’s risk is reduced through proportional reinsurance, while in addition the claim process is assumed to follow a Brownian motion with drift. By solving the corresponding Hamilton-Jacobi-Bellman equations, the optimal reinsurance-investment strategy is derived. The presented results generalize those by Taksar 1]. |
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Keywords: | Proportional reinsurance Hamilton-Jacobi-Bellman equation Optimal reinsurance-investment strategy |
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