Optimal Investment and Proportional Reinsurance in a Regime-Switching Market Model under Forward Preferences

Abstract

In this paper, we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial frameworks are dependent since stock prices and insurance claims vary according to a common factor given by a continuous time finite state Markov chain. We construct the value function and we prove that it is a forward dynamic utility. Then, we characterize the optimal investment strategy and the optimal proportional level of reinsurance. We also perform numerical experiments and provide sensitivity analyses with respect to some model parameters.

The Instrumental Apparatus of the Innovative Potential Audit of the Enterprise in the Implementation of Project Activities

“…The impact of PA on the state of IP can be analyzed through a whole range of disciplines such as, mathematics, statistics, cybernetics, and operations research so that the problems related to the efficiency of manufacturing enterprises can be tackled. The techniques aimed at doing so should focus on the best allocation of the limited resources in enterprise investment programs (Colaneri et al, 2021;Demidenko et al, 2018). However, even if an enterprise can conduct a fair commercial assessment of investment projects, problems arise in the external environment due to the non-availability or incompleteness of information.…”