Numerical study for expected power utility maximization of insurers

Abstract

In this paper, we give some numerical results related to Hata and Yasuda [1] that constructed an optimal investment and reinsurance strategies of maximizing the expected power utility maximization problem for an insurer. In our numerical experiments, we use pathwise analysis and the Monte-Carlo simulation, and compare four cases which have or do not have investment and reinsurance. And as performance criteria, we adopt return, risk, Sharp ratio, terminal wealth, utility values and their ranking.