Universität zu Köln

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

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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:	Creators Email ORCID ORCID Put Code Brachetta, Matteo UNSPECIFIED orcid.org/0000-0001-6940-4749 UNSPECIFIED Schmidli, Hanspeter UNSPECIFIED UNSPECIFIED UNSPECIFIED
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
Uncontrolled Keywords:	Keywords Language PROBABILITY; RUIN Multiple languages Social Sciences, Mathematical Methods Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/33141