| THE OPTIMAL REINSURANCE-INVESTMENT PROBLEM CONSIDERING THE JOINT INTERESTS OF AN INSURER AND A REINSURER UNDER HARA UTILITY |
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| 作者姓名： | 张燕 赵培标 周华任 |
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| 作者单位： | 1. Department of General Education,Army Engineering University of PLA;2. School of Mathematics & Statistics,Nanjing University of Science and Technology |
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| 摘 要： | This paper focuses on an optimal reinsurance and investment problem for an insurance corporation which holds the shares of an insurer and a reinsurer.Assume that the insurer can purchase reinsurance from the reinsurer,and that both the insurer and the reinsurer are allowed to invest in a risk-free asset and a risky asset which are governed by the Heston model and are distinct from one another.We aim to find the optimal reinsuranceinvestment strategy by maximizing the expected Hyperbolic Absolute...
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