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• W2795717653 abstract "In this paper, we pursue the optimal reinsurance-investment strategy of an insurer who can invest in both domestic and foreign markets. We assume that both the domestic and the foreign nominal interest rates are described by extended Cox-Ingersoll-Ross (CIR) models. In order to hedge the risk associated to investments, rolling bonds, treasury inflation protected securities and futures are purchased by the insurer. We use the dynamic programming principles to explicitly derive both the value function and the optimal reinsurance-investment strategy. As a conclusion, we analyze the impact of the model parameters on both the optimal strategy and the optimal utility." @default.
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• W2795717653 date "2018-04-03" @default.
• W2795717653 modified "2023-09-27" @default.
• W2795717653 title "Optimal Reinsurance-Investment Strategy Under Risks of Interest Rate, Exchange Rate and Inflation" @default.
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• W2795717653 doi "https://doi.org/10.1007/s11009-018-9630-7" @default.
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