A, Chunxiang; Li, Zhongfei - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 181-196
This paper considers an optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s stochastic volatility (SV) model. Suppose that the insurer is allowed to purchase excess-of-loss reinsurance and invests her surplus in a financial market consisting of...