Maulana, Malik and Mustafa, Mamat and Siti Sabariah, Abas and Ibrahim, Mohammed Sulaiman and Sukono, . and Abdul Talib, Bon (2020) Optimal reinsurance and investment problem under fractional power utility function. In: 5th North American International Conference on Industrial Engineering and Operations Management, 10-14 Aug 2020, Michigan, USA.
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Abstract
This paper discusses the optimal problem of reinsurance and investment for insurance companies with a fractional power utility function. Insurance companies can buy reinsurance contracts and invest their wealth in risk-free or riskfree financial securities. It is assumed that the insurance company surplus process is estimated using Brownian motion. The aim of the insurance company is to seek optimal reinsurance and investment strategies by maximizing expected utility expectations from the final wealth. The explicit form for the optimal strategy is determined by the stochastic optimal control theory approach, which uses the Hamilton Jacobi Bellman equations.
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Uncontrolled Keywords: | Reinsurance, Investment, Fractional power utility, optimal control theory, Hamilton Jacobi Bellman equations. |
| Subjects: | H Social Sciences > H Social Sciences (General) H Social Sciences > HB Economic Theory H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management |
| Divisions: | Faculty of Informatics & Computing |
| Depositing User: | Muhammad Akmal Azhar |
| Date Deposited: | 23 Nov 2020 04:18 |
| Last Modified: | 23 Nov 2020 04:18 |
| URI: | http://eprints.unisza.edu.my/id/eprint/1821 |
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