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The Optimal Strategy of Reinsurance-Investment Problem for an Insurer with Dynamic Income Under Stochastic Interest Rate
Delei SHENG
Journal of Systems Science and Information ›› 2016, Vol. 4 ›› Issue (3) : 244-257.
PDF(294 KB)
PDF(294 KB)
The Optimal Strategy of Reinsurance-Investment Problem for an Insurer with Dynamic Income Under Stochastic Interest Rate
This paper considers the reinsurance-investment problem for an insurer with dynamic income to balance the profit of insurance company and policy-holders. The insurer's dynamic income is given by a net premium minus a dynamic reward budget item and the net premium is obtained according to the expected premium principle. Applying the stochastic control technique, a Hamilton-Jacobi-Bellman equation is established under stochastic interest rate model and the explicit solution is obtained by maximizing the insurer's power utility of terminal wealth. In addition, the comparison with corresponding results under constant interest rate helps us to understand the role and influence of stochastic interest rates more in-depth.
reward budget / stochastic interest rates / dynamic income / HJB equation {{custom_keyword}} /
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Supported by the National Natural Science Foundation of China (11301376)
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