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Decisions in Economics and Finance

Erschienen in:

13.08.2019

Optimal reinsurance and investment in a diffusion model

verfasst von: Matteo Brachetta, Hanspeter Schmidli

Erschienen in: Decisions in Economics and Finance | Ausgabe 1/2020

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Abstract

We consider a diffusion approximation to an insurance risk model where an external driver models a stochastic environment. The insurer can buy reinsurance. Moreover, it is possible to invest in a financial market that depends on the insurance market. The financial market is also driven by the environmental process. Our goal is to maximise terminal expected utility. In particular, we consider the case of SAHARA utility functions. In the case of proportional and excess-of-loss reinsurance, we obtain explicit results.

Vorheriger Artikel Pricing and hedging defaultable participating contracts with regime switching and jump risk

Nächster Artikel Arbitrary initial conditions and the dimension of indeterminacy in linear rational expectations models

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Titel: Optimal reinsurance and investment in a diffusion model
verfasst von: Matteo Brachetta
Hanspeter Schmidli
Publikationsdatum: 13.08.2019
Verlag: Springer International Publishing
Erschienen in: Decisions in Economics and Finance / Ausgabe 1/2020
Print ISSN: 1593-8883
Elektronische ISSN: 1129-6569
DOI: https://doi.org/10.1007/s10203-019-00265-8

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