A Note on Optimal Proportional Reinsurance Control

摘要

In this paper, we study optimal proportional reinsurance for jump-diffusion models with transaction costs. Under the assumption that the risk process is compound Poisson process perturbed by a standard Brownian motion, we obtain the HJB equation satisfied by the value function, and a verification theorem is proved by using martingale method. We also consider how to calculate the asymptotic value of the optimal strategy in an efficient way.