Optimal Investment And Reinsurance Strategy Of The Insurance Company: Stochastic Differential Game Approach

This paper is concerned with the zero-sum stochastic differential game to the optimal investment and reinsurance strategy of insurance company,using the method of maximum principle and dynamic programming.Under the as-sumption that the diffusion system includes the two Brownian motions which are correlated and the insurance company's utility functional is CARA,the closed-form expressions of the optimal investment and reinsurance strategy and relationship between these two methods are obtained.Through numerical analysis,the conclusion is under the situation of full reinsurance,the optimal strategy is investing all the wealth on the risk-free asset,and under the situ-ation of incomplete reinsurance,the optimal strategy is short-selling of risky assets.Besides,when the risk-free rate and the correlation coefficient are ris-ing,the selling of wealth of risky asset and the retention are rising,and when the risk aversion coefficient and the terminal moment are rising,the selling of wealth of risky asset and the retention are reducing.