OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT FOR A CONSTANT ELASTICITY OF VARIANCE MODEL UNDER V

• 作 者: 周杰明 邓迎春 黄娅 杨向群
• 机 构: SchoolofMathematicalSciences,CollegeofMathematicsandComputerScience,CollegeofBusinessAdministration
• 出 处: 数学物理学报：B辑英文版
• 发表日期: 2015年2期
• 关键词: 保险公司 投资问题 EV模型 方差 比例 弹性 扩散过程 盈余过程 Constant elasticity of variance Hami!ton-Jacob
• 基金项目: This work is supported by the NSFC （11171101）

This article studies the optimal proportional reinsurance and investment problem under a constant elasticity of variance(CEV) model.Assume that the insurer’s surplus process follows a jump-diffusion process,the insurer can purchase proportional reinsuranc