Optimal Investment and Excess of Loss Reinsurance with Short-selling Constraint

作     者：Sheng Liu Jing-xiao Zhang 

作者机构：Center for Applied Statistics School of Statistics Renmin University of China Beijing 100872 China 

出 版 物：《Acta Mathematicae Applicatae Sinica》 (应用数学学报（英文版）)

年 卷 期：2011年第27卷第3期

页      面：527-534页

核心收录：

学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 1204[管理学-公共管理] 020208[经济学-统计学] 020204[经济学-金融学（含∶保险学）] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 120404[管理学-社会保障] 0701[理学-数学] 

基　　金：Supported in part by the National Natural Science Foundation of China (No. 10771214) the Key research project of RUC, the Ministry of Education Humanities Social Science Key Research Institute in University Foundation (NO. 07JJD910244) 

主　　题：Hamilton-Jacobi-Bellman equation jump-diffusion process short-selling constraint XL reinsurance 

摘      要：This paper considers the optimal control problem with constraints for an insurance company. The risk process is assumed to be a jump-diffusion process and the risk can be reduced through an excess of loss （XL） reinsurance. In addition, the surplus can be invested in the financial market. In the financial market, the short-selling constraint is one of the main factors which make models more realistic. Our goal is to find the optimal investment-reinsurance policy without short-selling, which maximizes the expected exponential utility of the terminal wealth. By solving the corresponding Hamilton-Jacobi-Bellman equation, the value function and the optimal investment-reinsurance policy are given in a closed form.