IDEAS home Printed from https://ideas.repec.org/a/hin/jnlmpe/9368346.html
   My bibliography  Save this article

Optimal Time-Consistent Investment and Reinsurance Strategy Under Time Delay and Risk Dependent Model

Author

Listed:
  • Sheng Li
  • Yong He

Abstract

In this paper, we consider the problem of investment and reinsurance with time delay under the compound Poisson model of two-dimensional dependent claims. Suppose an insurance company controls the claim risk of two kinds of dependent insurance businesses by purchasing proportional reinsurance and invests its wealth in a financial market composed of a risk-free asset and a risk asset. The risk asset price process obeys the geometric Brownian motion. By introducing the capital flow related to the historical performance of the insurer, the wealth process described by stochastic delay differential equation (SDDE) is obtained. The extended HJB equation is obtained by using the stochastic control theory under the framework of game theory. Under the reinsurance expected premium principle, optimal time-consistent investment and reinsurance strategy and the corresponding value function are obtained. Finally, the influence of model parameters on the optimal strategy is explained by numerical analysis.

Suggested Citation

  • Sheng Li & Yong He, 2020. "Optimal Time-Consistent Investment and Reinsurance Strategy Under Time Delay and Risk Dependent Model," Mathematical Problems in Engineering, Hindawi, vol. 2020, pages 1-20, August.
    • Handle: RePEc:hin:jnlmpe:9368346
    DOI: 10.1155/2020/9368346
    as

    Download full text from publisher

    File URL: http://downloads.hindawi.com/journals/MPE/2020/9368346.pdf
    Download Restriction: no
    File URL: http://downloads.hindawi.com/journals/MPE/2020/9368346.xml
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2020/9368346?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hin:jnlmpe:9368346. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.