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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2011.1
- 수록면
- 91 - 100 (10page)
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초록· 키워드
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It is important to find an optimal strategy which maximizes the surplus of the insurance company at the maturity time T. The purpose of this paper is to give an explicit expression for the optimal reinsurance and investment strategy, under the CEV model, which maximizes the expected exponential utility of the final value of the surplus at T. To do this optimization problem, the corresponding Hamilton-Jacobi-Bellman equation will be transformed a linear partial differential equation by applying a Legendre transform.
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참고문헌 (12)
참고문헌 신청
B. Højgaad / 1998 / Optimal proportional reinsurance policies for diffusion mod-els with transaction costs / Insuance Math. Econom 22 : 41 ~ 51
B.øksendal / 1998 / Stochastic Differential Equations / Springer-Verlag Berlin Heidelberg
C. Hipp / 2000 / Optimal investment for insurers / Insurance Math. Econom 27 : 215 ~ 228
H. Schmidli / 2001 / Optimal proportional reinsurance policies in a dynamic setting / Scan. Actuarial J (1) : 55 ~ 68
J. Gao / 2009 / Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model / Insuance Math. Econom 45 : 9 ~ 18
B.øksendal / 1998 / Stochastic Differential Equations / Springer-Verlag Berlin Heidelberg
C. Hipp / 2000 / Optimal investment for insurers / Insurance Math. Econom 27 : 215 ~ 228
H. Schmidli / 2001 / Optimal proportional reinsurance policies in a dynamic setting / Scan. Actuarial J (1) : 55 ~ 68
J. Gao / 2009 / Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model / Insuance Math. Econom 45 : 9 ~ 18
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