Optimal reinsurance and investment problem under fractional power utility function

• Main Authors: Maulana, Malik, Mustafa, Mamat, Siti Sabariah, Abas, Ibrahim, Mohammed Sulaiman, Sukono, ., Abdul Talib, Bon
• Format: Conference or Workshop Item
• Language: English
• Published: 2020
• Subjects: H Social Sciences (General); HB Economic Theory; HD28 Management. Industrial Management
• Online Access: http://eprints.unisza.edu.my/1821/1/FH03-FIK-20-42150.pdf; http://eprints.unisza.edu.my/1821/

This paper discusses the optimal problem of reinsurance and investment for insurance companies with a fractional power utility function. Insurance companies can buy reinsurance contracts and invest their wealth in risk-free or riskfree financial securities. It is assumed that the insurance company...