In this paper, we discuss how to determine the optimal investment portfolio and reinsurance strategy of insurance company based on zero-sum stochastic differential game between the market and the insurer. We extend Zhang and Siu (2009)’s model by (1) including a risk-free asset, (2)...

Purpose The authors consider the mutual benefits of the ceding company and reinsurance company in the design of reinsurance contracts. Two objective functions to maximize social expected utilities are established, which are to maximize the sum of the expected utilities of both the ceding company...

In this article, we establish integrated models to determine the necessary economical capital, investment and reinsurance strategies concurrently based on the criteria of minimizing the total frictional cost, Solvency II and Swiss Solvency Test respectively. We consider different structures of...