Optimal reinsurance/investment problems for general insurance models

Details Optimal reinsurance/investment problems for general insurance models Optimal reinsurance/investment problems for general insurance models

2009-08-31

arxiv.org/abs/0908.4538v1

Annals of Applied Probability 2009, Vol. 19, No. 4, 1495-1528

Mathematics

Probability

Published in at http://dx.doi.org/10.1214/08-AAP582 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Inst

Scientific paper

10.1214/08-AAP582

In this paper the utility optimization problem for a general insurance model is studied. The reserve process of the insurance company is described by a stochastic differential equation driven by a Brownian motion and a Poisson random measure, representing the randomness from the financial market and the insurance claims, respectively. The random safety loading and stochastic interest rates are allowed in the model so that the reserve process is non-Markovian in general. The insurance company can manage the reserves through both portfolios of the investment and a reinsurance policy to optimize a certain utility function, defined in a generic way. The main feature of the problem lies in the intrinsic constraint on the part of reinsurance policy, which is only proportional to the claim-size instead of the current level of reserve, and hence it is quite different from the optimal investment/consumption problem with constraints in finance. Necessary and sufficient conditions for both well posedness and solvability will be given by modifying the ``duality method'' in finance and with the help of the solvability of a special type of backward stochastic differential equations.

Affiliated with

Also associated with

No associations

Rating

Optimal reinsurance/investment problems for general insurance models does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Optimal reinsurance/investment problems for general insurance models, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Optimal reinsurance/investment problems for general insurance models will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-220848