PDF(276 KB)
Explicit Solution of the Optimal Reinsurance-Investment Problem with Promotion Budget
Delei SHENG
Journal of Systems Science and Information ›› 2016, Vol. 4 ›› Issue (2) : 131-148.
PDF(276 KB)
PDF(276 KB)
Explicit Solution of the Optimal Reinsurance-Investment Problem with Promotion Budget
The lack of surrendering profits to policy holder leads to the development of this paper. For an insurer with promotion budget, both the interests of the insurance company and policy-holder are given a balance. In addition, promotion budget is introduced into the risk management process, which makes cheap reinsurance more fair. This article aims at obtaining the explicit strategy and value function for an investment-reinsurance problem under stochastic interest rates. Applying stochastic control technique, a Hamilton-Jacobi-Bellman (HJB) equation is established. The closed-form solution for the HJB equation and a verification theorem are obtained. At last, some numerical analysises illustrate the impacts of different parameters.
promotion budget / stochastic interest rates / power utility / HJB equation {{custom_keyword}} /
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Supported by National Natural Science Foundation of China (11301376)
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