全部 标题 作者
关键词 摘要

OALib Journal期刊
ISSN: 2333-9721
费用:99美元

查看量下载量

Correlation of Brownian Motions and Its Impact on a Reinsurer’s Optimal Investment Strategy and Reinsured Proportion under Exponential Utility Maximization and Constant Elasticity of Variance Model

DOI: 10.4236/oalib.1104954, PP. 1-10

Subject Areas: Partial Differential Equation, Ordinary Differential Equation, Financial Mathematics

Keywords: Correlation of Brownian Motions, Investment Strategy, Reinsured Proportion, Exponential Utility Constant Elasticity of Variance, Hamilton-Jacobi-Bellman Equation

Full-Text   Cite this paper   Add to My Lib

Abstract

This work investigated a reinsurer’s optimal investment strategy and the pro-portion he accepted for reinsurance under proportional reinsurance and expo-nential utility preference in the cases where the Brownian motions were corre-lated and where they did not correlate. The reinsurer invested in a market in which the price process of the risky asset is governed by constant elasticity of variance (CEV) model. The required Hamilton-Jacobi-Bellman Equations (HJB) were derived using the Ito’s lemma from which the optimal investment strategy and reinsured proportion were calculated. Also investigated were the implications of the correlation coefficient.

Cite this paper

Ihedioha, S. A. (2018). Correlation of Brownian Motions and Its Impact on a Reinsurer’s Optimal Investment Strategy and Reinsured Proportion under Exponential Utility Maximization and Constant Elasticity of Variance Model. Open Access Library Journal, 5, e4954. doi: http://dx.doi.org/10.4236/oalib.1104954.

References

[1]  Browne, S. (1995) Optimal Investment Policies for a Firm with a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin. Mathematics of Operations Research, 20, 937-958.
https://doi.org/10.1287/moor.20.4.937
[2]  Liang, Z.B. and Bayraktar, E. (2014) Optimal Reinsurance and Investment with Un-observable Claim Size and Intensity. Insurance Mathematics and Economics, 55, 156-166.
https://doi.org/10.1016/j.insmatheco.2014.01.011
[3]  Shen, Y. and Wei, J.Q. (2016) Optimal Investment-Consumption-Insurance with Random Parameters. Scandinavian Actuarial Journal, 2016, 37-62.
https://doi.org/10.1080/03461238.2014.900518
[4]  Deng, Y., Zhou, J. and Huang, Y. (2015) Optimal Proportional Reinsurance and Investment for a Constant Elasticity of Variance Model under Variance Principle. Acta Mathematica Scientia, 35, 303-312.
https://doi.org/10.1016/S0252-9602(15)60002-9
[5]  Gao, J. (2009) Optimal Investment Strategy for Annuity Contracts under the Constant Elasticity of Variance (CEV) Model. Insurance: Mathematics and Economics, 45, 9-18.
https://doi.org/10.1016/j.insmatheco.2009.02.006
[6]  Ihedioha, S.A. and Osu, B.O. (2015) Optimal Probability of Survival of an Insurer and a Reinsurer under Proportional Reinsurance and Power Utility Preference. International Journal of Innovation in Science and Mathematics, 3, 2347-9051.
[7]  Li, D., Rong, X. and Zhao, H. (2015) Time Consistent Reinsurance-Investment Strategy for a Mean-Variance Insurer under Stochastic Interest Rate Model and Inflation Risk. Insurance: Mathematics and Economics, 64, 28-44.
https://doi.org/10.1016/j.insmatheco.2015.05.003
[8]  Zhibin, L. and Guo, J. (2010) Optimal Proportional Reinsurance under Two Criteria: Maximizing the Expected Utility and Minimizing the Value at Risk. The ANZIAM Journal, 51, 449-463.
https://doi.org/10.1017/S1446181110000878
[9]  Gu, M., Yang, Y., Li, S. and Zhang, J. (2010) Constant Elasticity of Variance Model for Proportional Reinsurance and Investment Strategies. Insurance: Mathematics and Economics, 46, 580-587.
https://doi.org/10.1016/j.insmatheco.2010.03.001

Full-Text


comments powered by Disqus

Contact Us

service@oalib.com

QQ:3279437679

WhatsApp +8615387084133

WeChat 1538708413