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Optimal investment and proportional reinsurance in the Sparre Andersen model

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Abstract

From the insurer’s point of view, this paper studies the optimal investment and proportional reinsurance in the Sparre Andersen model. Under the criterion of maximizing the adjustment coefficient, the authors obtain the closed form expressions of the optimal strategy and the maximal adjustment coefficient, and derive the explicit expression of the ruin probability or its lower bound when the claim sizes are exponentially distributed. Some numerical examples are presented, which show the impact of model parameters on the optimal values. It can also be seen that the optimal strategy to maximize the adjustment coefficient is sometimes equivalent to those which minimize the ruin probability.

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Author information

Authors and Affiliations

  1. School of Mathematical Sciences, Nanjing Normal University, Nanjing, 210046, China

    Zhibin Liang

  2. School of Mathematical Sciences, Nankai University, Tianjin, 300071, China

    Junyi Guo

Authors
  1. Zhibin Liang
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  2. Junyi Guo
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Corresponding author

Correspondence to Zhibin Liang.

Additional information

This research is supported by the National Natural Science Foundation of China under Grant No. 11101215 and the Natural Science Foundation of the Jiangsu Higher Education Institutions of China under Grant No. 09KJB110004.

This paper was recommended for publication by Editor Shouyang WANG

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Liang, Z., Guo, J. Optimal investment and proportional reinsurance in the Sparre Andersen model. J Syst Sci Complex 25, 926–941 (2012). https://doi.org/10.1007/s11424-012-0058-9

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  • DOI: https://doi.org/10.1007/s11424-012-0058-9

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