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Optimal reinsurance–investment problem for maximizing the product of the insurer’s and the reinsurer’s utilities under a CEV model

  • Published:2014-01 Issue: Volume:255 Page:671-683
  • ISSN:0377-0427
  • Container-title:Journal of Computational and Applied Mathematics
  • language:en
  • Short-container-title:Journal of Computational and Applied Mathematics

Author:

Li Danping,Rong Ximin,Zhao Hui

Funder

National Natural Science Foundation of China

Research Projects of Social Science and Humanity Foundation of the Ministry of Education of China

China Scholarship Council

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference21 articles.

1. Optimal investment policies for a firm with a random risk process: exponential utility and minimizing the probability of ruin;Browne;Math. Oper. Res.,1995

2. Optimal investment for insurers;Hipp;Insur. Math. Econ.,2000

3. Optimal proportional reinsurance policies in a dynamic setting;Schmidli;Scand. Actuar. J.,2001

4. Minimizing the probability of ruin when claims follow Brownian motion with drift;Promislow;N. Am. Actuar. J.,2005

5. On reinsurance and investment for large insurance portfolios;Luo;Insur. Math. Econ.,2008

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