Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff

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<title>Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff</title>
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<namePart>Peng, Xingchun</namePart>
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<abstract displayLabel="Summary">This paper is devoted to the study of optimization of investment, consumption and proportional reinsurance for an insurer with option type payoff at the terminal time under the criterion of exponential utility maximization. The surplus process of the insurer and the financial risky asset process are assumed to be diffusion processes driven by Brownian motions which are non-Markovian in general. Very general constraints are imposed on the investment and the proportional reinsurance processes. Based on the martingale optimization principle, we use BSDE and BMO martingale techniques to derive the optimal strategy and the optimal value function. Some interesting particular cases are studied in which the explicit expressions for the optimal strategy are given by using the Malliavin calculus.</abstract>
<note type="statement of responsibility">Xingchun Peng, Linxiao Wei, Yijun Hu</note>
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<url displayLabel="MÁS INFORMACIÓN" usage="primary display">mailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A</url>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
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<text>03/11/2014 Volumen 59 Número 1 - noviembre 2014 </text>
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