Sheng, D.L., Rong, X. and Zhao, H. (2014) Optimal Control of Investment-Reinsurance Problem for an Insurer with Jump-Diffusion Risk Process: Independence of Brownian Motions. Abstract and Applied Analysis, 2014, Article ID: 194962.
https://doi.org/10.1155/2014/194962

has been cited by the following article:

• TITLE: Optimal Investment and Risk Control Strategies for an Insurance Fund in Stochastic Framework

  AUTHORS: Patrick Kandege Mwanakatwe, Xiaoguang Wang, Yue Su

  KEYWORDS: Hull-White SV Model, Investment Policies, Stochastic Optimal Control, Re-insurance

  JOURNAL NAME: Journal of Mathematical Finance, Vol.9 No.3, July 8, 2019

  ABSTRACT: This paper considers optimal investment and risk control problem under the Hull and White Stochastic Volatility (SV) model for an Insurer who aims to optimize the investment and risk control strategies. The surplus process of the insurer is assumed to follow the Brownian motion with drift. An Insurer can invest in the financial market consisting of risk-free and risky assets whose price process satisfies Hull-White SV model. By applying the stochastic dynamic programming approach, we derive closed-form expressions for the optimal strategies and the value function. We find that under the Hull and White model, the interest rate and risk aversion parameters both influence optimal strategies. Moreover, we provide a numerical example to illustrate the model’s economic implications.