Optimal reinsurance under a jump diffusion model
Expo-nential utility, HJB equation, Jump diffusion, Proportional reinsurance, Stochastic control
Stochastic Analysis, Stochastic Systems, and Applications to Finance
We study an optimal dynamic control problem of an insurance company whose wealth process is modeled by a jump diffusion. The company can purchase proportional reinsurance to reduce its risk level and invest all surplus in a risk free asset. The objective is to maximize the expected value of an exponential utility of the terminal wealth. We derive explicit optimal value function and find its associated reinsurance strategy.
Original Publication Date
DOI of published version
Luo, Shangzhen, "Optimal reinsurance under a jump diffusion model" (2011). Faculty Publications. 1980.