ABSTRACT
Cao, Y.-S., 2019. Optimal costal reinsurance and investment with exponential utility: Dependent claims. In: Gong, D.; Zhu, H., and Liu, R. (eds.), Selected Topics in Coastal Research: Engineering, Industry, Economy, and Sustainable Development. Journal of Coastal Research, Special Issue No. 94, pp. 369-375. Coconut Creek (Florida), ISSN 0749-0208. Journal of Coastal Research, Special Issue No. 94, pp. 743–748. Coconut Creek (Florida), ISSN 0749-0208.
Coastal areas are prone to storm surge disasters, and a storm surge disaster will cause significant economic losses. Based on exponential utility, the paper studies how to purchase the proportional reinsurance to spread the risk of storm surge and how to distribute the surplus captain into risk market and risk-free market. In the whole paper, we describe the capital operation process using Brownian motion, and the model is the binary dependent claim risk model, through solving the corresponding Hamilton-Jacobi-Bellman Equation s, the paper gives the optimal strategy of investment and reinsurance in order to make the end utility of the storm surge disaster original insurance company maximum.
