Optimal investment and proportional reinsurance in a regime-switching market model under forward preferences
In this paper we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial frameworks are dependent since stock prices and insurance claims vary according to a common factor given by a continuous time finite state Markov chain. We construct the value function and we prove that it is a forward dynamic utility. Then, we characterize the investment strategy and the optimal proportional level of reinsurance. We also perform numerical experiments and provide sensitivity analyses with respect to some model parameters.
Code (0)
등록된 구현이 없습니다.
Tasks
SensitivitySimilar Papers 제목 키워드 기반
Optimal Reinsurance and Investment in a Diffusion Model
We consider a diffusion approximation to an insurance risk model where an external driver models a stochastic environment. The insurer can buy reinsurance. Moreover, investment in a financial market is possible. The fina…
Optimal Reinsurance and Investment under Common Shock Dependence Between Financial and Actuarial Markets
We study optimal proportional reinsurance and investment strategies for an insurance company which experiences both ordinary and catastrophic claims and wishes to maximize the expected exponential utility of its terminal…
Optimal investment and reinsurance under exponential forward preferences
We study the optimal investment and proportional reinsurance problem of an insurance company, whose investment preferences are described via a forward dynamic utility of exponential type in a stochastic factor model allo…
A hybrid stochastic differential reinsurance and investment game with bounded memory
This paper investigates a hybrid stochastic differential reinsurance and investment game between one reinsurer and two insurers, including a stochastic Stackelberg differential subgame and a non-zero-sum stochastic diffe…
Decision MakingMany-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets
This paper studies the robust reinsurance and investment games for competitive insurers. Model uncertainty is characterized by a class of equivalent probability measures. Each insurer is concerned with relative performan…