@article{article_1025441, title={Optimal investment and reinsurance strategies for an insurer with stochastic economic factor}, journal={Hacettepe Journal of Mathematics and Statistics}, volume={52}, pages={197–208}, year={2023}, DOI={10.15672/hujms.1025441}, author={Shen, Weiwei}, keywords={Stochastic control, investment-reinsurance strategy, stochastic economic factor, Lévy processes, HJB equation}, abstract={This work considers optimal investment and reinsurance strategies for an insurer with stochastic economic factor. In our mathematical model, a risk-free asset and a risky asset are assumed to rely on a stochastic economic factor which is described by a diffusion process. We generalize the claim process to a compound Poisson process with the stochastic economic factor. Using expected utility maximization, we characterize the optimal strategy of investment-reinsurance under the power utility function. We use dynamic programming principle to derive the Hamilton–Jacobi–Bellman (HJB) equation. Then, by analysing the solution of the HJB equation, the optimal investment-reinsurance strategy is obtained and given in the verification theorem. Finally, sensitivity analysis is given to show the economic behavior of the optimal investment and reinsurance strategies.}, number={1}, publisher={Hacettepe University}, organization={National Natural Science Foundation of China； Guangzhou University}