Gu, Ailing; Guo, Xianping; Li, Zhongfei; Zeng, Yan - In: Insurance: Mathematics and Economics 51 (2012) 3, pp. 674-684
The optimal excess-of-loss reinsurance and investment strategies under a constant elasticity of variance (CEV) model for an insurer are considered in this paper. Assume that the insurer’s surplus process is approximated by a Brownian motion with drift, the insurer can purchase excess-of-loss...