Optimal investment and reinsurance for the insurer and reinsurer with the joint exponential utility
In this paper, we consider the problem of optimal investment-reinsurance for the insurer and reinsurer under the stochastic volatility model. The surplus process of the insurer is described by a diffusion model. The insurer can purchase proportional reinsurance from the reinsurer and the premium cha...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2024-12-01
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| Series: | AIMS Mathematics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/math.20241672 |
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