Optimization Problems of Excess-of-Loss Reinsurance and Investment under the CEV Model

We consider that the insurer purchases excess-of-loss reinsurance and invests its wealth in the constant elasticity of variance (CEV) stock market. We model risk process by Brownian motion with drift and study the optimization problem of maximizing the exponential utility of terminal wealth under th...

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Veröffentlicht in:	ISRN mathematical analysis 2013-05, Vol.2013, p.1-10
Hauptverfasser:	Li, Qicai, Gu, Mengdi
Format:	Artikel
Sprache:	eng
Schlagworte:	Economic models Insurance companies Investment policy Reinsurance Studies
Online-Zugang:	Volltext
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