Optimal excess-of-loss reinsurance and investment problem with delay and jump–diffusion risk process under the CEV model
作者：
Highlights：
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• Optimal reinsurance and investment problem with delay under the CEV model is considered.
• Both delayed information and jump–diffusion risk processes are included.
• Closed-form optimal strategies and value functions are derived.
• Three special cases are discussed by some empirical sensitivity analyses.
摘要
•Optimal reinsurance and investment problem with delay under the CEV model is considered.•Both delayed information and jump–diffusion risk processes are included.•Closed-form optimal strategies and value functions are derived.•Three special cases are discussed by some empirical sensitivity analyses.
论文关键词：IM52,IE13,IB91,Excess-of-loss reinsurance,Constant elasticity of variance model,Stochastic differential delay equation,Stochastic optimal control
论文评审过程：Received 15 May 2017, Revised 3 August 2017, Available online 28 April 2018, Version of Record 1 June 2018.
论文官网地址：https://doi.org/10.1016/j.cam.2018.03.035
