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On optimal proportional reinsurance and investment in a Markovian regime-switching economy |
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| Authors: | Xin Zhang Tak Kuen Siu |
| Affiliation: | (1) School of Mathematical Sciences and LPMC, Nankai University, Tianjin, 300071, P. R. China;(2) Department of Actuarial Studies, Faculty of Business and Economics, Macquarie University, Sydney, NSW, 2109, Australia |
| Abstract: | In this paper, the surplus of an insurance company is modeled by a Markovian regimeswitching diffusion process. The insurer decides the proportional reinsurance and investment so as to increase revenue. The regime-switching economy consists of a fixed interest security and several risky shares. The optimal proportional reinsurance and investment strategies with no short-selling constraints for maximizing an exponential utility on terminal wealth are obtained. |
| Keywords: | Reinsurance regime-switching economy optimal investment short-selling constraints |
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