Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer

被引：3
|
作者：
Zhao, Xia [1 ]
Li, Mengjie [1 ]
Si, Qinrui [1 ]
机构：
[1] Shanghai Univ Int Business & Econ, Sch Stat & Informat, Shanghai 201620, Peoples R China
来源：
ELECTRONIC RESEARCH ARCHIVE | 2022年 / 30卷 / 12期
关键词：
derivatives trading; investment-reinsurance; HJB equations; certainty-equivalence; utility function; ROBUST OPTIMAL INVESTMENT; MEAN-VARIANCE CRITERION; PROPORTIONAL REINSURANCE; DEPENDENT RISKS; PERFORMANCE; PRODUCT; MODEL;
D O I：
10.3934/era.2022234
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
Considering the common interests of an insurer and a reinsurer, the optimal investment-reinsurance problem with derivatives trading is studied. Suppose that both parties would invest a stock and a risk-free asset for capital appreciation, the insurer could purchase reinsurance and trade derivatives, the optimization problem is formulated by maximizing the expected exponential utility of two parties' wealth processes. The corresponding HJB equations are built for optimal strategy through the dynamic programming principle. In addition, derivatives trading is evaluated based on the certainty-equivalence principle. A numerical study directly illustrates how model parameters influence optimal strategies.
引用
收藏
页码：4619 / 4634
页数：16
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