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arXiv · 1903.12426

Optimal Reinsurance and Investment in a Diffusion Model

Matteo Brachetta·Hanspeter Schmidli
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Abstract

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 financial market is also driven by the environmental process. Our goal is to maximise terminal expected utility. In particular, we consider the case of SAHARA utility functions. In the case of proportional and excess-of-loss reinsurance, we obtain explicit results.

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Matteo Brachetta, Hanspeter Schmidli. 2019-03-29. Optimal Reinsurance and Investment in a Diffusion Model. https://arxiv.org/abs/1903.12426

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