Optimal Time-consistent Investment and Reinsurance Strategy for Mean-variance Insurers Under the Inside Information

被引：3
|
作者：
Jing CAO [1 ,2 ]
Xing-chun PENG [3 ]
Yi-jun HU [1 ]
机构：
[1] School of Mathematics and Statistics,Wuhan University
[2] School of Mathematics and Statistics,South-Central University for Nationalities
[3] School of Science,Wuhan University of Technology
来源：
Acta Mathematicae Applicatae Sinica | 2016年 / 32卷 / 04期
基金：
中国国家自然科学基金;
关键词：
reinsurance; portfolio; inside information; time-consistency; mean-variance criterion;
D O I：
暂无
中图分类号：
F842 [中国保险业];
学科分类号：
020204 ; 120404 ;
摘要：
In this paper,we consider the problem of the optimal time-consistent investment and proportional reinsurance strategy under the mean-variance criterion,in which the insurer has some inside information at her disposal concerning the future realizations of her claims process.It is assumed that the surplus of the insurer is governed by a Brownian motion with drift,and the insurer has the possibility to reduce the risk by purchasing proportional reinsurance and investing in financial markets.We first formulate the problem and provide a verification theorem on the extended Hamilton-Jacobi-Bellman equations.Then,the closed-form expression is obtained for the optimal strategy of the optimization problem.
引用
收藏
页码：1087 / 1100
页数：14
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