Optimal reinsurance and investment problem under fractional power utility function

• Main Authors: Maulana, Malik, Mustafa, Mamat, Siti Sabariah, Abas, Ibrahim, Mohammed Sulaiman, Sukono, ., Abdul Talib, Bon
• Format: Conference or Workshop Item
• Language: English
• Published: 2020
• Subjects: H Social Sciences (General); HB Economic Theory; HD28 Management. Industrial Management
• Online Access: http://eprints.unisza.edu.my/1821/1/FH03-FIK-20-42150.pdf; http://eprints.unisza.edu.my/1821/
• Institution: Universiti Sultan Zainal Abidin

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 riskfree 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.