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Constant elasticity of variance model for proportional reinsurance and investment strategies

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Listed:
  • Gu, Mengdi
  • Yang, Yipeng
  • Li, Shoude
  • Zhang, Jingyi

Abstract

In our model, the insurer is allowed to buy reinsurance and invest in a risk-free asset and a risky asset. The claim process is assumed to follow a Brownian motion with drift, while the price process of the risky asset is described by the constant elasticity of variance (CEV) model. The Hamilton-Jacobi-Bellman (HJB) equation associated with the optimal reinsurance and investment strategies is established, and solutions are found for insurers with CRRA or CARRA utility.

Suggested Citation

  • Gu, Mengdi & Yang, Yipeng & Li, Shoude & Zhang, Jingyi, 2010. "Constant elasticity of variance model for proportional reinsurance and investment strategies," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 580-587, June.
    • Handle: RePEc:eee:insuma:v:46:y:2010:i:3:p:580-587
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    References listed on IDEAS

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