Abstract
In this paper, the surplus of an insurance company is modeled by a Markovian regimeswitching diffusion process. The insurer decides the proportional reinsurance and investment so as to increase revenue. The regime-switching economy consists of a fixed interest security and several risky shares. The optimal proportional reinsurance and investment strategies with no short-selling constraints for maximizing an exponential utility on terminal wealth are obtained.
Original language | English |
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Pages (from-to) | 67-82 |
Number of pages | 16 |
Journal | Acta Mathematica Sinica, English Series |
Volume | 28 |
Issue number | 1 |
DOIs | |
Publication status | Published - Jan 2012 |