%0 Journal Article
%T Correlation of Brownian Motions and Its Impact on a Reinsurer¡¯s Optimal Investment Strategy and Reinsured Proportion under Exponential Utility Maximization and Constant Elasticity of Variance Model
%A Silas A. Ihedioha
%J Open Access Library Journal
%V 5
%N 10
%P 1-10
%@ 2333-9721
%D 2018
%I Open Access Library
%R 10.4236/oalib.1104954
%X <div style="text-align:justify;">
	<span style="line-height:1.5;">This work investigated a reinsurer¡¯s optimal investment strategy and the pro-portion he accepted for reinsurance under proportional reinsurance and expo-nential utility preference in the cases where the Brownian motions were corre-lated and where they did not correlate. The reinsurer invested in a market in which the price process of the risky asset is governed by constant elasticity of variance (CEV) model. The required Hamilton-Jacobi-Bellman Equations (HJB) were derived using the Ito¡¯s lemma from which the optimal investment strategy and reinsured proportion were calculated. Also investigated were the implications of the correlation coefficient.</span>
</div>
%K Correlation of Brownian Motions
%K Investment Strategy
%K Reinsured  Proportion
%K Exponential Utility Constant Elasticity of Variance
%K Hamilton-Jacobi-Bellman Equation
%U http://www.oalib.com/paper/5300448