Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/17703
Title: Optimal investment-reinsurance with dynamic risk constraint and regime switching
Authors: Liu, J
Yiu, KFC 
Siu, TK
Ching, WK
Keywords: Optimal reinsurance and investment
Regime-switching
Utility maximization
Dynamic programming
Maximal conditional Value at Risk (MCVaR)
Regime-switching Hamilton-Jacobi-Bellman (HJB) equations
Issue Date: 2013
Publisher: Taylor & Francis Ltd
Source: Scandinavian actuarial journal, 2013, v. 2013, no. 4, p. 263-285 How to cite?
Journal: Scandinavian Actuarial Journal 
Abstract: We study an optimal investment-reinsurance problem for an insurer who faces dynamic risk constraint in a Markovian regime-switching environment. The goal of the insurer is to maximize the expected utility of terminal wealth. Here the dynamic risk constraint is described by the maximal conditional Value at Risk over different economic states. The rationale is to provide a prudent investment-reinsurance strategy by taking into account the worst case scenario over different economic states. Using the dynamic programming approach, we obtain an analytical solution of the problem when the insurance business is modeled by either the classical Cramer-Lundberg model or its diffusion approximation. We document some important qualitative behaviors of the optimal investment-reinsurance strategies and investigate the impacts of switching regimes and risk constraint on the optimal strategies.
URI: http://hdl.handle.net/10397/17703
ISSN: 0346-1238
DOI: 10.1080/03461238.2011.602477
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