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• W2351258383 abstract "The optimal exless-of-loss reinsurance and investment strategies under the jump-diffusion risk proless for an insurer are considered,whose target is to maximize the expected exponential utility of the terminal wealth. The insurer is allowed to invest in a risk-free asset and a risky asset,the instantaneous return rate of the risky asset is driven by Geometric Levy process. By applying stochastic control theory,the explicit expressions of the optimal investment strategy and the optimal value function are obtained. Finally,some examples are given to show the impact of relevant parameters on the optimal strategies." @default.
• W2351258383 created "2016-06-24" @default.
• W2351258383 creator A5014764098 @default.
• W2351258383 date "2015-01-01" @default.
• W2351258383 modified "2023-09-26" @default.
• W2351258383 title "Optimal Investment and Excess-of-Loss Reinsurance Strategies for Insurers under the Geometric Levy Process" @default.
• W2351258383 hasPublicationYear "2015" @default.
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