English, Article edition: Optimal proportional reinsurance and investment with transaction costs, I: Maximizing the terminal wealth Zhang, Xin-Li; Zhang, Ke-Cun; Yu, Xing-Jiang

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Optimal proportional reinsurance and investment with transaction costs, I: Maximizing the terminal wealth
Author
  • Zhang, Xin-Li
  • Zhang, Ke-Cun
  • Yu, Xing-Jiang
Physical Description
  • article
Notes
  • 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 n risky assets. In this paper, we consider the transaction costs when investing in the risky assets. Also, we use Conditional Value-at-Risk (CVaR) to control the whole risk. We consider the optimization problem of maximizing the expected exponential utility of terminal wealth 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.
  • Conditional value-at-risk Exponential utility Hamilton-Jacobi-Bellman equation Proportional reinsurance Transaction costs
  • RePEc:eee:insuma:v:44:y:2009:i:3:p:473-478
Language
  • English
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