Optimal investment-reinsurance problem for an insurer with jump-diffusion risk process: correlated of Brownian motions

Abstract

Taking the minimum ruin probability as the optimal measure, the paper brings the investment into the reinsurance, assume the market is divided into risk market and non - risk market, moreover, the insurance investment returns and the surplus captain are correlated stochastic process, the insurer buys the proportional reinsurance for risk-spreading. Applying stochastic control technique of jump diffusion, the paper gives the optimal reinsurance-investment strategy.

Keywords:

• Correlated Brownian motions
• Risk market
• Non-risk market
• Optimal strategy

Mathematics Subject Classification:

• 093E20
• 91B30