%0 Journal Article
%T Optimal Proportional Reinsurance and Investment with Transaction Costs and Liability<br>考虑交易费用和债务的再保险和投资问题
%A ZHANG Xin-Li
%A SUN Wen-Yu
%A <br>张昕丽
%A 孙文瑜
%J 数学物理学报(A辑)
%D 2012
%I 
%X In this paper, the authorsconsidera problem ofoptimal reinsuranceand investment with multiple risky assets and a liability for an insurance company whose surplus is governed by a linear diffusion. The insurance company’s risk can be reduced through reinsurance, while in addition the company invests its surplus in a financial market with one risk-free asset and m risky assets. The risky assets’ prices are governed by geometric Brownian motions while the liability evolves according to a Brownian motion with drift. The correlations between the risky assets and the liability are considered. The transaction costs produced during the investmentaretaken into account. Te authors considerthe optimization problemof maximizing the expected exponential utility of terminal wealth and solve it by using the corresponding Hamilton-Jacobi-Bellman(HJB) equation. Explicit expression for the optimal value function and the corresponding optimal strategies are obtained.
%K Hamilton-Jacobi-Bellman equationzz
%K Liabilityzz
%K Proportional reinsurancezz
%K Transac-tion costszz<br>HJB方程
%K 债务
%K 比例再保险
%K 交易费用
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=6E709DC38FA1D09A4B578DD0906875B5B44D4D294832BB8E&cid=37F46C35E03B4B86&jid=4DB553CDB5F521D8C921082E5C95EC80&aid=46DBF3E8FC2736F0000265FB91F356B4&yid=99E9153A83D4CB11&vid=9971A5E270697F23&iid=CA4FD0336C81A37A&sid=205BE674D84A456D&eid=2922B27A3177030F&journal_id=1003-3998&journal_name=数学物理学报(A辑)&referenced_num=0&reference_num=0