Optimal investment and reinsurance strategies under jump-diffusion process

摘要

In this paper, we study optimal excess-of-loss reinsurance and investment strategies of an insurer with jump diffusion risk process. The insurer can invest in a risk-free asset and a risky asset, and allowed to buy excess-of-loss reinsurance to reduce risk. Our main objective is to find the optimal investment and reinsurance strategies which minimize ruin probability of insurer. By applying the diffusion approximation approach, we obtain the close form expression of the optimal policy, and find that optimal strategy and ruin probability are affected by the risk-free interest rate. Finally, some numerical examples are given, which illustrate the effects of the parameter on the optimal reinsurance-investment strategy and the corresponding minimal ruin probability.