Zhu, Huiming; Deng, Chao; Yue, Shengjie; Deng, Yingchun - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 242-254
This paper analyzes the optimal proportional reinsurance and investment problem for an insurer in a defaultable market. We assume that the reinsurance premium is calculated via the exponential premium principle. The insurer can allocate his/her wealth among the following securities: a bank...