TIME-CONSISTENT REINSURANCE-INVESTMENT STRATEGIES FOR INSURER AND REINSURER UNDER JUMP-DIFFUSION AND VOLATILITY RISKS

被引：0
|
作者：
Chen, Dengsheng [1 ]
He, Yong [2 ]
Yang, Pengcheng [3 ]
机构：
[1] AnHui Univ Finance & Econ, Sch Finance, Bengbu, Peoples R China
[2] Chongqing Univ Sci & Technol, Sch Math & Phys, Chongqing 401331, Peoples R China
[3] Southwestern Univ Finance & Econ, Sch Math, Chengdu, Peoples R China
来源：
JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2024年
关键词：
Reinsurance-investment; mean-variance framework; jump-diffusion; Heston model; closed-form solutions; ROBUST OPTIMAL INVESTMENT; DEPENDENCE; PRODUCT;
D O I：
10.3934/jimo.2024103
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
This paper studies the time-inconsistent optimal reinsurance-investment problem with the joint interests of an insurer and a reinsurer under the jump-diffusion and Heston models. We aim to find the optimal strategy to maximize the sum of weighted wealth of the insurer and reinsurer under the mean-variance framework. By applying dynamic programming and differential game theories, we give the Hamilton-Jacobi-Bellman (HJB) equation and verification theorem. Then, the closed-form solutions of optimal strategies and the value functions are obtained. Moreover, the sensitivity analysis is carried out.
引用
收藏
页数：18
相关论文
共 50 条
12345