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Cox, J. and Huang, C.F. (1989) Optimal Consumption and Portfolio Policies When Asset Prices Follow a Diffusion Process. Journal of Economic Theory, 49, 33-83.
https://doi.org/10.1016/0022-0531(89)90067-7

has been cited by the following article:

• TITLE: Optimal Excess-of-Loss Reinsurance and Investment Problem for Insurers with Loss Aversion

  AUTHORS: Qingya Sun, Ximin Rong, Hui Zhao

  KEYWORDS: Loss Aversion, Excess-of-Loss Reinsurance, Martingale Approach, Investment, S-Shaped Utility

  JOURNAL NAME: Theoretical Economics Letters, Vol.9 No.4, April 29, 2019

  ABSTRACT: This paper studies an optimal reinsurance and investment problem for a loss-averse insurer. The insurer’s goal is to choose the optimal strategy to maximize the expected S-shaped utility from the terminal wealth. The surplus process of the insurer is assumed to follow a classical Cramér-Lundberg (C-L) model and the insurer is allowed to purchase excess-of-loss reinsurance. Moreover, the insurer can invest in a risk-free asset and a risky asset. The dynamic problem is transformed into an equivalent static optimization problem via martingale approach and then we derive the optimal strategy in closed-form. Finally, we present some numerical simulation to illustrate the effects of market parameters on the optimal terminal wealth and the optimal strategy, and explain some economic phenomena from these results.