Guan, Guohui; Liang, Zongxia - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 105-115
approximated by a drifted Brownian motion. Proportional reinsurance is to hedge the risk of insurance. Interest rate risk and …In this paper, we investigate an optimal reinsurance and investment problem for an insurer whose surplus process is … inflation risk are considered. We suppose that the instantaneous nominal interest rate follows an Ornstein–Uhlenbeck process …
