Ӧ�ø���ͳ�� 2010, 26(3) 309-322 DOI:      ISSN: 1001-4268 CN: 31-1256

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Optimal Dynamic Portfolio Section for Insurers
with Investment and Reinsurance Based on
Random Impulsive Model
Fu huanning,Wu Shujin
School of Finance and Statistics, East China Normal
University,Department of Mathematics, School of Science,
Jimei University
Abstract:

In this paper an insurer is assumed to invest his
reserve in a financial market, which consists of a risky asset and a
risk-free asset. The random impulsive model for stock prices is used
to depict the price of risky security. A controlled diffusion risk
process is presented to describe such a dynamic setting. Explicit
and closed-form solutions for the optimal dynamic choice are derived
when excess-of-loss or proportional reinsurance is incorporated with
an investment under the optimization criteria of maximizing the
expectation of quadratic utility of the terminal wealth at a fixed
terminal time, respectively. Based on the explicit solutions, the
influence of the dependence between the finance risk and insurance
risk on the optimal dynamic choice is illustrated numerically.

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