Optimal reinsurance and investment problem under fractional power utility function

Maulana Malik; Mustafa Mamat; Siti Sabariah Abas; Ibrahim Mohammed Sulaiman; Sukono; Abdul Talib Bon

Optimal reinsurance and investment problem under fractional power utility function

Maulana Malik, Mustafa Mamat, Siti Sabariah Abas, Ibrahim Mohammed Sulaiman, Sukono, Abdul Talib Bon

Department of Mathematics

Research output: Contribution to journal › Conference article › peer-review

Abstract

This paper discusses the optimal problem of reinsurance and investment for insurance companies with a fractional power utility function. Insurance companies can buy reinsurance contracts and invest their wealth in risk-free or risk-free financial securities. It is assumed that the insurance company surplus process is estimated using Brownian motion. The aim of the insurance company is to seek optimal reinsurance and investment strategies by maximizing expected utility expectations from the final wealth. The explicit form for the optimal strategy is determined by the stochastic optimal control theory approach, which uses the Hamilton Jacobi Bellman equations.

Original language	English
Journal	Proceedings of the International Conference on Industrial Engineering and Operations Management
Issue number	August
Publication status	Published - 2020
Event	Proceedings of the 5th NA International Conference on Industrial Engineering and Operations Management, IOEM 2020 - Virtual, United States Duration: 10 Aug 2020 → 14 Aug 2020

Keywords

Fractional power utility
Hamilton Jacobi Bellman equations
Investment
Optimal control theory
Reinsurance

Cite this

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title = "Optimal reinsurance and investment problem under fractional power utility function",

abstract = "This paper discusses the optimal problem of reinsurance and investment for insurance companies with a fractional power utility function. Insurance companies can buy reinsurance contracts and invest their wealth in risk-free or risk-free financial securities. It is assumed that the insurance company surplus process is estimated using Brownian motion. The aim of the insurance company is to seek optimal reinsurance and investment strategies by maximizing expected utility expectations from the final wealth. The explicit form for the optimal strategy is determined by the stochastic optimal control theory approach, which uses the Hamilton Jacobi Bellman equations.",

keywords = "Fractional power utility, Hamilton Jacobi Bellman equations, Investment, Optimal control theory, Reinsurance",

author = "Maulana Malik and Mustafa Mamat and Abas, {Siti Sabariah} and Sulaiman, {Ibrahim Mohammed} and Sukono and Bon, {Abdul Talib}",

note = "Publisher Copyright: {\textcopyright} IEOM Society International. Copyright: Copyright 2020 Elsevier B.V., All rights reserved.; Proceedings of the 5th NA International Conference on Industrial Engineering and Operations Management, IOEM 2020 ; Conference date: 10-08-2020 Through 14-08-2020",

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AU - Malik, Maulana

AU - Mamat, Mustafa

AU - Abas, Siti Sabariah

AU - Sulaiman, Ibrahim Mohammed

AU - Sukono,

AU - Bon, Abdul Talib

PY - 2020

Y1 - 2020

N2 - This paper discusses the optimal problem of reinsurance and investment for insurance companies with a fractional power utility function. Insurance companies can buy reinsurance contracts and invest their wealth in risk-free or risk-free financial securities. It is assumed that the insurance company surplus process is estimated using Brownian motion. The aim of the insurance company is to seek optimal reinsurance and investment strategies by maximizing expected utility expectations from the final wealth. The explicit form for the optimal strategy is determined by the stochastic optimal control theory approach, which uses the Hamilton Jacobi Bellman equations.

AB - This paper discusses the optimal problem of reinsurance and investment for insurance companies with a fractional power utility function. Insurance companies can buy reinsurance contracts and invest their wealth in risk-free or risk-free financial securities. It is assumed that the insurance company surplus process is estimated using Brownian motion. The aim of the insurance company is to seek optimal reinsurance and investment strategies by maximizing expected utility expectations from the final wealth. The explicit form for the optimal strategy is determined by the stochastic optimal control theory approach, which uses the Hamilton Jacobi Bellman equations.

KW - Fractional power utility

KW - Hamilton Jacobi Bellman equations

KW - Investment

KW - Optimal control theory

KW - Reinsurance

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M3 - Conference article

AN - SCOPUS:85096582788

SN - 2169-8767

JO - Proceedings of the International Conference on Industrial Engineering and Operations Management

JF - Proceedings of the International Conference on Industrial Engineering and Operations Management

IS - August

T2 - Proceedings of the 5th NA International Conference on Industrial Engineering and Operations Management, IOEM 2020

Y2 - 10 August 2020 through 14 August 2020

ER -

Optimal reinsurance and investment problem under fractional power utility function

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Keywords

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