East Asian mathematical journal

The Youngnam Mathematical Society (영남수학회)
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ON STOCHASTIC OPTIMAL REINSURANCE AND INVESTMENT STRATEGIES FOR THE SURPLUS UNDER THE CEV MODEL

  • Jung, Eun-Ju (Department of Mathematics Pusan National University) ;
  • Kim, Jai-Heui (Department of Mathematics Pusan National University)
  • Received : 2010.11.19
  • Accepted : 2011.01.12
  • Published : 2011.01.31
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Abstract

It is important to find an optimal strategy which maximize the surplus of the insurance company at the maturity time T. The purpose of this paper is to give an explicit expression for the optimal reinsurance and investment strategy, under the CEV model, which maximizes the expected exponential utility of the final value of the surplus at T. To do this optimization problem, the corresponding Hamilton-Jacobi-Bellman equation will be transformed a linear partial differential equation by applying a Legendre transform.

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References

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