Li, D., Rong, X. and Zhao, H. (2015) Time Consistent Reinsurance-Investment Strategy for a Mean-Variance Insurer under Stochastic Interest Rate Model and Inflation Risk. Insurance Mathematics and Economics, 64, 28-44. - References

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Li, D., Rong, X. and Zhao, H. (2015) Time Consistent Reinsurance-Investment Strategy for a Mean-Variance Insurer under Stochastic Interest Rate Model and Inflation Risk. Insurance: Mathematics and Economics, 64, 28-44.
https://doi.org/10.1016/j.insmatheco.2015.05.003

has been cited by the following article:

TITLE: Correlation of Brownian Motions and Its Impact on a Reinsurer’s Optimal Investment Strategy and Reinsured Proportion under Exponential Utility Maximization and Constant Elasticity of Variance Model

AUTHORS: Silas A. Ihedioha

KEYWORDS: Correlation of Brownian Motions, Investment Strategy, Reinsured Proportion, Exponential Utility Constant Elasticity of Variance, Hamilton-Jacobi-Bellman Equation

JOURNAL NAME: Open Access Library Journal, Vol.5 No.10, October 30, 2018

ABSTRACT: This work investigated a reinsurer’s optimal investment strategy and the pro-portion he accepted for reinsurance under proportional reinsurance and expo-nential utility preference in the cases where the Brownian motions were corre-lated and where they did not correlate. The reinsurer invested in a market in which the price process of the risky asset is governed by constant elasticity of variance (CEV) model. The required Hamilton-Jacobi-Bellman Equations (HJB) were derived using the Ito’s lemma from which the optimal investment strategy and reinsured proportion were calculated. Also investigated were the implications of the correlation coefficient.