摘要：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.
