Optimal excess-of-loss reinsurance and investment problem with thinning dependent risks under Heston model

摘要

This paper studies an optimal excess-of-loss reinsurance and investment problem with thinning dependent risks. Assume that the insurer's wealth process is described by a risk model with two dependent classes of insurance business, and the insurer is allowed to purchase excess-of-loss reinsurance from the reinsurer and invest in a risk-free asset and a risky asset whose price follows Heston model. Our aim is to seek the optimal excess-of-loss reinsurance and investment strategy under the criterion of maximizing the expected exponential utility of the terminal wealth. Applying Legendre transform along with the stochastic control theory, we obtain the explicit expressions of the optimal excess-of-loss reinsurance and investment strategy. Finally, we give some numerical examples to illustrate our results. (C) 2020 Elsevier B.V. All rights reserved.