Optimal reinsurance-investment problem under mean-variance criterion with \(n\) risky assets
type: Item
instance of: scholarly article
title: Optimal reinsurance-investment problem under mean-variance criterion with \(n\) risky assets
zbMATH Open document ID: 1459.91165
DOI: 10.1155/2020/6489532
author: Peng Yang
published in: Discrete Dynamics in Nature and Society
publication date: 2020-07-22T00:00:00Z
review text: Summary: Based on the mean-variance criterion, this paper investigates the continuous-time reinsurance and investment problem. The insurer's surplus process is assumed to follow Cramér-Lundberg model. The insurer is allowed to purchase reinsurance for reducing claim risk. The reinsurance pattern that the insurer adopts is combining proportional and excess of loss reinsurance. In addition, the insurer can invest in financial market to increase his wealth. The financial market consists of one risk-free asset and \(n\) correlated risky assets. The objective is to minimize the variance of the terminal wealth under the given expected value of the terminal wealth. By applying the principle of dynamic programming, we establish a Hamilton-Jacobi-Bellman (HJB) equation. Furthermore, we derive the explicit solutions for the optimal reinsurance-investment strategy and the corresponding efficient frontier by solving the HJB equation. Finally, numerical examples are provided to illustrate how the optimal reinsurance-investment strategy changes with model parameters.
Mathematics Subject Classification ID: 91G05
zbMATH DE Number: 7224159
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2020/6489532
OpenAlex ID: W3031636965
cites work: Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
cites work: Robust optimal reinsurance-investment strategy with price jumps and correlated claims
cites work: Optimal investment for insurer with jump-diffusion risk process
cites work: Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
cites work: Controlled diffusion models for optimal dividend pay-out
cites work: Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér-Lundberg model
cites work: Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
cites work: Upper bounds for ruin probabilities under model uncertainty
cites work: Continuous-time mean-variance portfolio selection: a stochastic LQ framework
cites work: Optimal dynamic portfolio selection: multiperiod mean-variance formulation
cites work: CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
cites work: Benchmark and mean-variance problems for insurers
cites work: Time-consistent mean-variance reinsurance-investment in a jump-diffusion financial market
cites work: Mean-variance problem for an insurer with default risk under a jump-diffusion risk model
cites work: A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling
cites work: Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework
cites work: Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility
cites work: De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information
cites work: Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
cites work: Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities
cites work: Convex Programming and Duality in Normed Space
cites work: Q4032143
cites work: Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
description: scientific article; zbMATH DE number 7224159