Optimal Reinsurance-Investment Strategy Under Risks of Interest Rate, Exchange Rate and Inflation

dc.contributor.authorGuo, C.
dc.contributor.authorZhuo, X.
dc.contributor.authorConstantinescu, C.
dc.contributor.authorPamen, O.M.
dc.date.accessioned2019-06-17T09:43:00Z
dc.date.available2019-06-17T09:43:00Z
dc.date.issued2018-12
dc.description.abstractIn this paper, we pursue the optimal reinsurance-investment strategy of an insurer who can invest in both domestic and foreign markets. We assume that both the domestic and the foreign nominal interest rates are described by extended Cox-Ingersoll-Ross (CIR) models. In order to hedge the risk associated to investments, rolling bonds, treasury inflation protected securities and futures are purchased by the insurer. We use the dynamic programming principles to explicitly derive both the value function and the optimal reinsurance-investment strategy. As a conclusion, we analyze the impact of the model parameters on both the optimal strategy and the optimal utility. © 2018, The Author(s).en_US
dc.identifier.citationGuo, C., Zhuo, X., Constantinescu, C. et al. Methodol Comput Appl Probab (2018) 20: 1477. https://doi.org/10.1007/s11009-018-9630-7en_US
dc.identifier.otherVolume 20, Issue 4, pp 1477–1502
dc.identifier.otherhttps://doi.org/10.1007/s11009-018-9630-7
dc.identifier.urihttp://ugspace.ug.edu.gh/handle/123456789/30814
dc.language.isoenen_US
dc.publisherMethodology and Computing in Applied Probabilityen_US
dc.subjectDynamic programming principleen_US
dc.subjectExtended CIRen_US
dc.subjectForeign exchange marketen_US
dc.subjectOptimal reinsurance-investment strategyen_US
dc.subjectStochastic inflationen_US
dc.titleOptimal Reinsurance-Investment Strategy Under Risks of Interest Rate, Exchange Rate and Inflationen_US
dc.typeArticleen_US

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