Optimal proportional reinsurance and investment with minimum probability of ruin

摘要

The paper concerns a problem of optimal reinsurance and investment in order to minimizing the probability of ruin. In the whole paper, the cedent’s surplus is allowed to invest in a risk-free asset and a risky asset and the company’s risk is reduced through proportional reinsurance, while in addition the claim process is assumed to follow a Brownian motion with drift. By solving the corresponding Hamilton–Jacobi–Bellman equations, the optimal reinsurance–investment strategy is derived. The presented results generalize those by Taksar [1].