【摘 要】
：
An insurer is assumed to use reinsurance retentions to reduce his risk while investing his reserve into a financial market,which consists of a risky asset a
【机 构】
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DepartmentofStatisticsandActuarialScienceUniversityofWaterloo
【出 处】
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2009 International Conference on Financial Statistics and Fi
论文部分内容阅读
An insurer is assumed to use reinsurance retentions to reduce his risk while investing his reserve into a financial market,which consists of a risky asset and a risk-free asset,to add his wealth.The objective of the insurer is to make an optimal dynamic choice of a reinsurance policy incorporated with an investment strategy,which maximizes the expected exponential utility of his terminal wealth at a fixed terminal time or minimizes his ruin probability.A controlled diffusion risk process is presented to describe such a dynamic setting.
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