Optimal investment and reinsurance policies in insurance markets under the effect of inside information

In this paper, we study the problem of optimal investment and proportional reinsurance coverage in the presence of inside information. To be more precise, we consider two firms: an insurer and a reinsurer who are both allowed to invest their surplus in a Black–Scholes‐type financial market. The insu...

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Veröffentlicht in:	Applied stochastic models in business and industry 2012-11, Vol.28 (6), p.506-528
Hauptverfasser:	Baltas, I.D., Frangos, N.E., Yannacopoulos, A.N.
Format:	Artikel
Sprache:	eng
Schlagworte:	Financing Hamilton-Jacobi-Bellman equation insideinformation insurancemarkets Investment Markets Mathematical models Maximization Optimization Policies proportional reinsurance Reproduction
Online-Zugang:	Volltext
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