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Optimal Proportional Reinsurance and Investment with Minimizing Ruin Probability(PDF)

《南京师大学报（自然科学版）》[ISSN:1001-4616/CN:32-1239/N]

Issue:
2013年01期
Page:
1-9
Research Field:
数学
Publishing date:

Info

Title:
Optimal Proportional Reinsurance and Investment with Minimizing Ruin Probability
Author(s):
Zhang Xinli1; 2; Sun Wenyu1
(1.School of Mathematical Sciences,Nanjing Normal University,Nanjing 210023,China) (2.School of Mathematical Sciences,Liaocheng University,Liaocheng 252000,China)
Keywords:
Hamilton-Jacobi-Bellman equation; ruin probability; value function; transaction costs
PACS:
O224; F224.9
DOI:
-
Abstract:
In this paper,we consider a problem of optimal reinsurance and investment with multiple risky assets for an insurance company whose surplus is governed by a linear diffusion.The insurance company’s risk can be reduced through reinsurance,while,in addition,the company invests its surplus in a financial market with one risk-free asset and m risky assets.The risky assets’prices are governed by geometric Brownian motions.We consider the optimization problem of minimizing the ruin probability and solve it by using the corresponding Hamilton-Jacobi-Bellman(HJB)equation.Explicit expression for the optimal value function and the corresponding optimal strategies are obtained.

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Memo

Memo:
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Last Update: 2013-03-31