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Article: Optimal investment and reinsurance with premium control

TitleOptimal investment and reinsurance with premium control
Authors
Jiang, XYuen, KCChen, M
Keywordsexponential utility
investment
optimal strategy
premium control
reinsurance
Issue Date2019
PublisherAmerican Institute of Mathematical Sciences. The Journal's web site is located at https://www.aimsciences.org/journal/1547-5816
Citation
Journal of Industrial and Management Optimization, 2019 How to Cite?
DOI: http://dx.doi.org/10.3934/jimo.2019080
AbstractThis paper studies the optimal investment and reinsurance problem for a risk model with premium control. It is assumed that the insurance safety loading and the time-varying claim arrival rate are connected through a monotone decreasing function, and that the insurance and reinsurance safety loadings have a linear relationship. Applying stochastic control theory, we are able to derive the optimal strategy that maximizes the expected exponential utility of terminal wealth. We also provide a few numerical examples to illustrate the impact of the model parameters on the optimal strategy.
Persistent Identifierhttp://hdl.handle.net/10722/271286
ISSN
1547-5816
2021 Impact Factor: 1.411
2020 SCImago Journal Rankings: 0.325
ISI Accession Number ID
WOS:000581716000010

 

DC FieldValueLanguage
dc.contributor.authorJiang, X-
dc.contributor.authorYuen, KC-
dc.contributor.authorChen, M-
dc.date.accessioned2019-06-24T01:06:58Z-
dc.date.available2019-06-24T01:06:58Z-
dc.date.issued2019-
dc.identifier.citationJournal of Industrial and Management Optimization, 2019-
dc.identifier.issn1547-5816-
dc.identifier.urihttp://hdl.handle.net/10722/271286-
dc.description.abstractThis paper studies the optimal investment and reinsurance problem for a risk model with premium control. It is assumed that the insurance safety loading and the time-varying claim arrival rate are connected through a monotone decreasing function, and that the insurance and reinsurance safety loadings have a linear relationship. Applying stochastic control theory, we are able to derive the optimal strategy that maximizes the expected exponential utility of terminal wealth. We also provide a few numerical examples to illustrate the impact of the model parameters on the optimal strategy.-
dc.languageeng-
dc.publisherAmerican Institute of Mathematical Sciences. The Journal's web site is located at https://www.aimsciences.org/journal/1547-5816-
dc.relation.ispartofJournal of Industrial and Management Optimization-
dc.rightsJournal of Industrial and Management Optimization. Copyright © American Institute of Mathematical Sciences.-
dc.rightsThis is a pre-copy-editing, author-produced PDF of an article accepted for publication in [insert journal title] following peer review. The definitive publisher-authenticated version [insert complete citation information here] is available online at: xxxxxxx [insert URL that the author will receive upon publication here].-
dc.subjectexponential utility-
dc.subjectinvestment-
dc.subjectoptimal strategy-
dc.subjectpremium control-
dc.subjectreinsurance-
dc.titleOptimal investment and reinsurance with premium control-
dc.typeArticle-
dc.identifier.emailYuen, KC: kcyuen@hku.hk-
dc.identifier.authorityYuen, KC=rp00836-
dc.description.naturelink_to_OA_fulltext-
dc.identifier.doi10.3934/jimo.2019080-
dc.identifier.scopuseid_2-s2.0-85096189628-
dc.identifier.hkuros298082-
dc.identifier.isiWOS:000581716000010-
dc.publisher.placeUnited States-
dc.identifier.issnl1547-5816-

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