Optimal Investment Strategies In Excess Of Loss Reinsurance

Reinsurance is a behavior that original insurer transfer his part business toreinsurance person’s. Especially when insurance company face to the catastrophe risk,reinsurance is necessary. Insurance company how effective working capitalmanagement, avoiding risk, achieving optimization have become an importantresearched topic.In this paper, we study an insurance company which can invest under VaRconstraint. With the development of the insurance industry, considering that theinsurance company can invest its asset in n risky stocks, one riskless bond andreinsurance has more realistic significance, on this basis, we introduce the classicalvalue-at-risk constraint. Under controlling the investment risk we pursue themaximized exponential utility of terminal wealth. By solving the HJB-SDE equation,we attain the strategy of maximizing the value of the company，minimizing thebankruptcy rate and multidimensional case. Finally study the variation by software.The innovation of the reinsurance has become a researched subject. In this paper,we study the Excess of Loss Reinsurance considering the interests of the originalinsurance, providing guidance for insurance companies.