Bäuerle, Nicole; Blatter, Anja - In: Insurance: Mathematics and Economics 48 (2011) 3, pp. 398-405
In this paper we are interested in optimizing proportional reinsurance and investment policies in a multidimensional Lévy-driven insurance model. The criterion is that of maximizing exponential utility. Solving the classical Hamilton-Jacobi-Bellman equation yields that the optimal retention...