Optimal investment and reinsurance of insurers with lognormal stochastic factor model
Prof. Hiroaki HataShizuoka University 3:30 p.m. – 5:00 p.m. 鴻經館M107Abstract：
Optimal investment and
reinsurance of insurers are treated on a market with a bank account and a risky
stock. An economic factor process is formulated as a geometric Brownian motion,
and affects the return of the risky stock. The aim of an insurer is to maximize
the exponential utility.
The problem becomes a
jump-diffusion control problem. We derive the Hamilton-Jacobi-Bellman equations
and study these solutions. Using solutions, we construct optimal strategies and
optimal values.
This talk is based on joint work
with Li-Hsien Sun (National Central University).