University/Organization
¹Shanghai Second Polytechnic University
¹Shanghai Second Polytechnic University
²Illinois State University
Mathematics and Actuarial Program
Normal, Illinois
³Office of Information Security of China
Title
Insurance Pricing, Reinsurance and Investment Decision of Investment Linked Insurance Products Based on the Mutual Benefit of the Insurer and the Consumer
Synopsis
In this article, we establish an optimal decision model of insurance pricing, reinsurance and investment based on the mutual benefits of the insurer and the consumer. We assume that the price, investment and the claim loss rate are dependent stochastic processes. The main objective of our model is to maximize the product of expected utility of the consumer and to the expected utility of the terminal wealth of the insurer.