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Research Article
Vol. 31, Issue 1
Mathematical Modelling of an Insurer’s Portfolio and Reinsurance Strategy under the CEV Model and CRRA Utility
One of the major problems encountered by most insurance com panies is portfolio management and payment of claims. Hence the study of optimal portfolio strategy (OPS) and optimal reinsurance strategy (ORS) becomes necessary. In this paper, the insurer is allowed to invest in a risk-free-asset and a risky-asset, where the risky-asset price follows th...
