Optimal investment and reinsurance of insurers with inside information
Hiroaki HataShizuoka University 上午 10:00–11:30 國立中央大學鴻經館M107Abstract
In this paper, we consider an optimal investment and reinsurance problem
by an insurer. The insurer invests in a market consisting of a bank account and
a risky asset. The insurer has some influence on the dynamics of prices and
inside information. Moreover, the information of the insider is the final price
plus a blurring noise that disappears as the final time approaches. The wealth
of the insurer is described by a Cramer-Lundberg process. In such a setting, we
try to obtain the explicit solution of maximizing the expected exponential
utility.