英文标题：
《Optimal Reinsurance and Investment in a Diffusion Model》
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作者：
Matteo Brachetta and Hanspeter Schmidli
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最新提交年份：
2019
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英文摘要：
We consider a diffusion approximation to an insurance risk model where an external driver models a stochastic environment. The insurer can buy reinsurance. Moreover, investment in a financial market is possible. The financial market is also driven by the environmental process. Our goal is to maximise terminal expected utility. In particular, we consider the case of SAHARA utility functions. In the case of proportional and excess-of-loss reinsurance, we obtain explicit results.
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中文摘要：
我们考虑保险风险模型的扩散近似，其中外部驱动因素对随机环境建模。保险人可以购买再保险。此外，投资金融市场也是可能的。金融市场也受到环境过程的驱动。我们的目标是使终端预期效用最大化。特别地，我们考虑撒哈拉效用函数的情况。在比例和超额损失再保险的情况下，我们得到了明确的结果。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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