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• W2023017827 abstract "Abstract We consider an insurance company whose surplus is governed by a jump diffusion risk process. The insurance company can purchase proportional reinsurance for claims and invest its surplus in a risk-free asset and a risky asset whose return follows a jump diffusion process. Our main goal is to find an optimal investment and proportional reinsurance policy which maximizes the expected exponential utility of the terminal wealth. By solving the corresponding Hamilton–Jacobi–Bellman equation, closed-form solutions for the value function as well as the optimal investment and proportional reinsurance policy are obtained. We also discuss the effects of parameters on the optimal investment and proportional reinsurance policy by numerical calculations." @default.
• W2023017827 created "2016-06-24" @default.
• W2023017827 creator A5032969853 @default.
• W2023017827 creator A5087793059 @default.
• W2023017827 date "2011-01-01" @default.
• W2023017827 modified "2023-09-27" @default.
• W2023017827 title "OPTIMAL INVESTMENT AND REINSURANCE IN A JUMP DIFFUSION RISK MODEL" @default.
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• W2023017827 doi "https://doi.org/10.1017/s144618111100068x" @default.
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