Brachetta, Matteo ORCID: 0000-0001-6940-4749 and Schmidli, Hanspeter (2020). Optimal reinsurance and investment in a diffusion model. Decis. Econ. Financ., 43 (1). S. 341 - 362. CHAM: SPRINGER INTERNATIONAL PUBLISHING AG. ISSN 1129-6569
Full text not available from this repository.Abstract
We consider a diffusion approximation to an insurance risk model where an external driver models a stochastic environment. The insurer can buy reinsurance. Moreover, it is possible to invest in a financial market that depends on the insurance market. The financial market is also driven by the environmental process. Our goal is to maximise terminal expected utility. In particular, we consider the case of SAHARA utility functions. In the case of proportional and excess-of-loss reinsurance, we obtain explicit results.
Item Type: | Journal Article | ||||||||||||
Creators: |
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URN: | urn:nbn:de:hbz:38-331417 | ||||||||||||
DOI: | 10.1007/s10203-019-00265-8 | ||||||||||||
Journal or Publication Title: | Decis. Econ. Financ. | ||||||||||||
Volume: | 43 | ||||||||||||
Number: | 1 | ||||||||||||
Page Range: | S. 341 - 362 | ||||||||||||
Date: | 2020 | ||||||||||||
Publisher: | SPRINGER INTERNATIONAL PUBLISHING AG | ||||||||||||
Place of Publication: | CHAM | ||||||||||||
ISSN: | 1129-6569 | ||||||||||||
Language: | English | ||||||||||||
Faculty: | Unspecified | ||||||||||||
Divisions: | Unspecified | ||||||||||||
Subjects: | no entry | ||||||||||||
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URI: | http://kups.ub.uni-koeln.de/id/eprint/33141 |
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