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

<table>(a) The optimal value function <svg height="11.375" id="M269" style="vertical-align:-0.20064pt" version="1.1" viewbox="0 0 12.7375 11.375" width="12.7375" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,11.112)"><path d="M730 650l-8 -28q-52 -4 -72 -18t-64 -77q-79 -113 -321 -539h-33l-119 541q-13 59 -29.5 73t-66.5 20l7 28h245l-8 -28l-28 -5q-33 -6 -40.5 -15.5t-0.5 -38.5l102 -450h2q191 320 246 430q21 42 15.5 56t-43.5 19l-31 4l7 28h240z" id="x1D449"></path></g>
</svg> decreases with <svg height="7.9499998" id="M270" 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>. (b) The value function <svg height="11.375" id="M271" style="vertical-align:-0.20064pt" version="1.1" viewbox="0 0 12.7375 11.375" width="12.7375" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,11.112)"><path d="M730 650l-8 -28q-52 -4 -72 -18t-64 -77q-79 -113 -321 -539h-33l-119 541q-13 59 -29.5 73t-66.5 20l7 28h245l-8 -28l-28 -5q-33 -6 -40.5 -15.5t-0.5 -38.5l102 -450h2q191 320 246 430q21 42 15.5 56t-43.5 19l-31 4l7 28h240z" id="x1D449"></path></g>
</svg> decreases with <svg height="12.4375" id="M272" 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>.</table>

Abstract and Applied Analysis

fig4

Figure 4

Figure 4: Optimal Control of Investment-Reinsurance Problem for an Insurer with Jump-Diffusion Risk Process: Independence of Brownian Motions 