an:06004724
Zbl 1231.91193
Gu, Mengdi; Yang, Yipeng; Li, Shoude; Zhang, Jingyi
Constant elasticity of variance model for proportional reinsurance and investment strategies
EN
Insur. Math. Econ. 46, No. 3, 580-587 (2010).
00295224
2010
j
91B30 49L20
constant elasticity of variance; reinsurance; Hamilton-Jacobi-Bellman equation; optimal strategies
Summary: The insurer is allowed to buy reinsurance and invest in a risk-free asset and a risky asset. The claim process is assumed to follow a Brownian motion with drift, while the price process of the risky asset is described by the constant elasticity of variance (CEV) model. The Hamilton-Jacobi-Bellman (HJB) equation associated with the optimal reinsurance and investment strategies is established, and solutions are found for insurers with CRRA or CARRA utility.