%0 Journal Article
%T Optimal reinsurance and investment for an insurer with the jump diffusion risk model in A-C case
%A Dengfeng Xia
%A Weijie Yuan
%A Weiyin Fei
%J Systems Science & Control Engineering
%D 2019
%R https://doi.org/10.1080/21642583.2019.1630685
%X In this paper, we study the optimal reinsurance and investment problem for a class of jump-diffusion model, where the diffusion term represents the additional claims (i.e. A-C case). The insurer can purchase proportional reinsurance while allowing she/he to invest in a risk-free asset and a risky asset. The price process of the risky asset is driven by geometric L¨¦vy process with dividend payouts. Applying stochastic control theory, the corresponding Hamilton¨CJacobi¨CBellman equation is established and the optimal reinsurance-investment strategies to maximize the expected exponential utility of terminal wealth are also established. Finally, the optimal strategies are analysed by the numerical simulation
%U https://www.tandfonline.com/doi/full/10.1080/21642583.2019.1630685