Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Optimal proportional reinsurance and investment for stochastic factor
  models   In this work we investigate the optimal proportional reinsurance-investment
strategy of an insurance company which wishes to maximize the expected
exponential utility of its terminal wealth in a finite time horizon. Our goal
is to extend the classical Cramer-Lundberg model introducing a stochastic
factor which affects the intensity of the claims arrival process, described by
a Cox process, as well as the insurance and reinsurance premia. Using the
classical stochastic control approach based on the Hamilton-Jacobi-Bellman
equation we characterize the optimal strategy and provide a verification result
for the value function via classical solutions of two backward partial
differential equations. Existence and uniqueness of these solutions are
discussed. Results under various premium calculation principles are illustrated
and a new premium calculation rule is proposed in order to get more realistic
strategies and to better fit our stochastic factor model. Finally, numerical
simulations are performed to obtain sensitivity analyses.

37
The categories of this paper are: supr-con
20
The categories of this paper are: acc-phys
9
The categories of this paper are: nlin
13
The categories of this paper are: quant-ph
33
The categories of this paper are: plasm-ph
2
The categories of this paper are: math
6
The categories of this paper are: astro-ph
15
The categories of this paper are: nucl-ex
23
The categories of this paper are: solv-int
14
The categories of this paper are: math-ph
32
The categories of this paper are: atom-ph
36
The categories of this paper are: cmp-lg
25
The categories of this paper are: patt-sol
8
The categories of this paper are: hep-ex
29
The categories of this paper are: funct-an
18
The categories of this paper are: econ