Abstract
In this article, we establish a model of optimal insurance pricing and investment strategies is established. It is assumed that the insurance price, investment returns and insured losses are correlated stochastic processes. The affect of the demand on the price is also considered. We also assume that there are n-kinds risky assets invested, which follow multi-Vasicek model. The objective of the pricing model is to maximize the expected utility of the terminal wealth of an insurer. A Hamilton–Jacobi–Bellman (HJB) equation is established and the optimal price of an insurance contract and the optimal investment portfolio of an insurer are found simultaneously by solving that HJB equation.
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