{"paper":{"title":"Optimal proportional reinsurance and investment for stochastic factor models","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.RM","authors_text":"Claudia Ceci, Matteo Brachetta","submitted_at":"2018-06-04T17:06:02Z","abstract_excerpt":"In this work we investigate the optimal proportional reinsurance-investment strategy of an insurance company which wishes to maximize the expected exponential utility of its terminal wealth in a finite time horizon. Our goal is to extend the classical Cramer-Lundberg model introducing a stochastic factor which affects the intensity of the claims arrival process, described by a Cox process, as well as the insurance and reinsurance premia. Using the classical stochastic control approach based on the Hamilton-Jacobi-Bellman equation we characterize the optimal strategy and provide a verification "},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1806.01223","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}