On Optimal Proportional Reinsurance and Investment in a Markovian Regime-Switching Economy

作     者：Xin ZHANG Tak Kuen SIU 

作者机构：School of Mathematical Sciences and LPMCNankai UniversityTianjin 300071P.R.China Department of Actuarial StudiesFaculty of Business and EconomicsMacquarie UniversitySydneyNSW 2109Australia 

出 版 物：《Acta Mathematica Sinica,English Series》 (数学学报（英文版）)

年 卷 期：2012年第28卷第1期

页      面：67-82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] 070104[理学-应用数学] 0714[理学-统计学（可授理学、经济学学位）] 120404[管理学-社会保障] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：supported by National Natural Science Foundation of China (Grant No.11001139) Fundamental Research Funds for the Central Universities (Grant No.65010771) Specialized Research Fund for the Doctoral Program of Higher Education (SRFDP Grant No.20100031120002) the second author is supported by the Discovery Grant from the Australian Research Council (ARC) (Project No.DP1096243) 

主　　题：Reinsurance regime-switching economy optimal investment short-selling constraints 

摘      要：In this paper, the surplus of an insurance company is modeled by a Markovian regime- switching diffusion process. The insurer decides the proportional reinsurance and investment so as to increase revenue. The regime-switching economy consists of a fixed interest security and several risky shares. The optimal proportional reinsurance and investment strategies with no short-selling constraints for maximizing an exponential utility on terminal wealth are obtained.