caa a22 4500 445830646 CHVBK 20180317145314.0 cr unu---uuuuu 170323e20110701xx s 000 0 eng 10.1007/s10255-011-0089-3 doi (NATIONALLICENCE)springer-10.1007/s10255-011-0089-3 Optimal investment and excess of loss reinsurance with short-selling constraint [Elektronische Daten] [Sheng Liu, Jing-xiao Zhang] This paper considers the optimal control problem with constraints for an insurance company. The risk process is assumed to be a jump-diffusion process and the risk can be reduced through an excess of loss (XL) reinsurance. In addition, the surplus can be invested in the financial market. In the financial market, the short-selling constraint is one of the main factors which make models more realistic. Our goal is to find the optimal investment-reinsurance policy without short-selling, which maximizes the expected exponential utility of the terminal wealth. By solving the corresponding Hamilton-Jacobi-Bellman equation, the value function and the optimal investment-reinsurance policy are given in a closed form. Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences and Springer-Verlag Berlin Heidelberg, 2011 Hamilton-Jacobi-Bellman equation nationallicence jump-diffusion process nationallicence short-selling constraint nationallicence XL reinsurance nationallicence Liu Sheng Center for Applied Statistics, School of Statistics, Renmin University of China, 100872, Beijing, China aut Zhang Jing-xiao Center for Applied Statistics, School of Statistics, Renmin University of China, 100872, Beijing, China aut Acta Mathematicae Applicatae Sinica, English Series Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society 27/3(2011-07-01), 527-534 0168-9673 27:3<527 2011 27 10255 https://doi.org/10.1007/s10255-011-0089-3 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s10255-011-0089-3 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Liu Sheng Center for Applied Statistics, School of Statistics, Renmin University of China, 100872, Beijing, China aut NATIONALLICENCE 700 1- Zhang Jing-xiao Center for Applied Statistics, School of Statistics, Renmin University of China, 100872, Beijing, China aut NATIONALLICENCE 773 0- Acta Mathematicae Applicatae Sinica, English Series Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society 27/3(2011-07-01), 527-534 0168-9673 27:3<527 2011 27 10255 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer