Optimal Control of Investment-Reinsurance Problem for an Insurer with Jump-Diffusion Risk Process: Independence of Brownian Motions

<table>(a) The optimal investment strategy decreases with respect to <svg height="12.4375" id="M233" style="vertical-align:-0.13794pt" version="1.1" viewbox="0 0 8.6750002 12.4375" width="8.6750002" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,12.162)"><path d="M480 416q0 -21 -18 -41q-9 -11 -17 -7q-20 9 -42 9q-62 0 -140 -78q23 -69 88 -192q17 -31 27 -42t20 -11q16 0 62 46l17 -20q-64 -92 -119 -92q-35 0 -70 66q-41 73 -84 187q-36 -30 -62 -61q-27 -115 -35 -172q-41 -8 -78 -20l-6 6l140 612q7 28 0.5 34t-37.5 7l-34 1
l5 26q38 4 74 13.5t57 17t25 7.5q12 0 4 -32l-104 -443h2q35 38 97 93q39 35 65.5 56t62 41.5t58.5 20.5q19 0 30.5 -10t11.5 -22z" id="x1D458"></path></g>
</svg>. (b) The optimal investment strategy <svg height="8.1499996" id="M234" style="vertical-align:-0.16302pt" version="1.1" viewbox="0 0 10.175 8.1499996" width="10.175" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,7.888)"><path d="M574 449q-23 -58 -38 -79q-16 -4 -79 -4q-27 -100 -46 -219q-14 -87 7 -87t74 36l13 -27q-74 -81 -139 -81q-48 0 -48 62q0 22 8 59l60 258l-154 4q-21 -103 -54.5 -209t-64.5 -151q-38 -23 -83 -23l-7 15q46 36 94 152.5t64 216.5q-81 0 -138 -54l-18 23q22 27 39.5 43
t61.5 33.5t100 17.5q43 0 131.5 -2.5t129.5 -2.5q23 0 33.5 5t24.5 25z" id="x1D70B"></path></g>
</svg> decreases with respect to <svg height="7.9499998" id="M235" style="vertical-align:-0.13794pt" version="1.1" viewbox="0 0 6.5 7.9499998" width="6.5" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,7.675)"><path d="M352 391q0 -31 -27 -44q-14 -7 -24 6q-39 48 -84 48q-23 0 -39.5 -15t-16.5 -40q0 -43 73 -90q49 -32 70 -58t21 -57q0 -58 -62 -105.5t-129 -47.5q-40 0 -75.5 25t-35.5 52q0 28 32 46q7 4 15 3t11 -6q19 -31 48.5 -50.5t54.5 -19.5q34 0 54 19.5t20 42.5q0 43 -65 81
q-97 56 -97 123q0 50 51 96q19 17 58 32.5t62 15.5q37 0 61 -18t24 -39z" id="x1D460"></path></g>
</svg>. (c) The optimal investment strategy <svg height="8.1499996" id="M236" style="vertical-align:-0.16302pt" version="1.1" viewbox="0 0 10.175 8.1499996" width="10.175" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,7.888)"><path d="M574 449q-23 -58 -38 -79q-16 -4 -79 -4q-27 -100 -46 -219q-14 -87 7 -87t74 36l13 -27q-74 -81 -139 -81q-48 0 -48 62q0 22 8 59l60 258l-154 4q-21 -103 -54.5 -209t-64.5 -151q-38 -23 -83 -23l-7 15q46 36 94 152.5t64 216.5q-81 0 -138 -54l-18 23q22 27 39.5 43
t61.5 33.5t100 17.5q43 0 131.5 -2.5t129.5 -2.5q23 0 33.5 5t24.5 25z" id="x1D70B"></path></g>
</svg> decreases with respect to <svg height="16.6625" id="M237" style="vertical-align:-2.29482pt" version="1.1" viewbox="0 0 10 16.6625" width="10" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,12.162)"><path d="M558 587q0 -32 -14 -61t-40 -53.5t-48.5 -41t-54.5 -36.5q144 -51 144 -174q0 -55 -43.5 -108t-104.5 -87q-77 -42 -131 -42q-31 0 -54 20t-31 47l11 18q48 -29 108 -29q79 0 119.5 43t40.5 109t-44.5 107.5t-119.5 50.5l22 47q34 1 65 21q96 61 96 157q0 42 -24 67.5
t-62 25.5q-24 0 -43.5 -9t-35 -29.5t-27 -44t-22.5 -63t-19.5 -75.5t-18.5 -91q-57 -294 -68 -380q-26 -190 -35 -200q-26 -31 -97 -37l-4 26q19 9 48 170l77 413q23 121 52.5 187.5t83.5 114.5q70 62 148 62q51 0 88.5 -34t37.5 -91z" id="x1D6FD"></path></g>
</svg>.</table>

Abstract and Applied Analysis

fig3

Figure 3

Figure 3: Optimal Control of Investment-Reinsurance Problem for an Insurer with Jump-Diffusion Risk Process: Independence of Brownian Motions 