Optimal investment-reinsurance with delay for mean-variance insurers: A maximum principle approach

被引：64
|
作者：
Shen, Yang [1 ,2 ,3 ]
Zeng, Yan [4 ]
机构：
[1] Univ New S Wales, Sch Risk & Actuarial Studies, Sydney, NSW 2052, Australia
[2] Univ New S Wales, Australian Sch Business, CEPAR, Sydney, NSW 2052, Australia
[3] Macquarie Univ, Fac Business & Econ, Dept Appl Finance & Actuarial Studies, Sydney, NSW 2109, Australia
[4] Sun Yat Sen Univ, Lingnan Univ Coll, Guangzhou 510275, Guangdong, Peoples R China
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2014年 / 57卷
基金：
中国国家自然科学基金; 美国国家科学基金会;
关键词：
Investment-reinsurance; Mean-variance; Delay; Stochastic maximum principle; OPTIMAL PROPORTIONAL REINSURANCE; TIME-CONSISTENT INVESTMENT; PORTFOLIO SELECTION; STRATEGIES; PROBABILITY; BENCHMARK; UTILITY; MODEL;
D O I：
10.1016/j.insmatheco.2014.04.004
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper is concerned with an optimal investment and reinsurance problem with delay for an insurer under the mean-variance criterion. A three-stage procedure is employed to solve the insurer's mean-variance problem. We first use the maximum principle approach to solve a benchmark problem. Then applying the Lagrangian duality method, we derive the optimal solutions for a variance-minimization problem. Based on these solutions, we finally obtain the efficient strategy and the efficient frontier of the insurer's mean-variance problem. Some numerical examples are also provided to illustrate our results. (C) 2014 Elsevier B.V. All rights reserved.
引用
收藏
页码：1 / 12
页数：12
相关论文
共 50 条
  • [1] Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
    Zhao, Hui
    Shen, Yang
    Zeng, Yan
    [J]. JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2016, 437 (02) : 1036 - 1057
  • [2] Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
    Zhang, Xin
    Meng, Hui
    Zeng, Yan
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2016, 67 : 125 - 132
  • [3] Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
    Chen, Ping
    Yam, S. C. P.
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2013, 53 (03): : 871 - 883
  • [4] Optimal time-consistent investment and reinsurance policies for mean-variance insurers
    Zeng, Yan
    Li, Zhongfei
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2011, 49 (01): : 145 - 154
  • [5] Optimal Reinsurance and Derivative-Based Investment Decisions for Insurers with Mean-Variance Preference
    Zhou, Haiying
    Zhu, Huainian
    [J]. MATHEMATICS, 2024, 12 (13)
  • [6] Optimal reinsurance-investment policies for insurers with mispricing under mean-variance criterion
    Wang, Yijun
    Deng, Yingchun
    Huang, Ya
    Zhou, Jieming
    Xiang, Xuyan
    [J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2022, 51 (16) : 5653 - 5680
  • [7] Optimal investment reinsurance strategy for mean-variance insurers with square-root factor process
    Shen, Yang
    Zeng, Yan
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2015, 62 : 118 - 137
  • [8] Optimal Mean-Variance Investment-Reinsurance Strategy for a Dependent Risk Model with Ornstein-Uhlenbeck Process
    Tian, Yingxu
    Sun, Zhongyang
    Guo, Junyi
    [J]. METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2022, 24 (02) : 1169 - 1191
  • [9] Optimal Mean-Variance Investment-Reinsurance Strategy for a Dependent Risk Model with Ornstein-Uhlenbeck Process
    Yingxu Tian
    Zhongyang Sun
    Junyi Guo
    [J]. Methodology and Computing in Applied Probability, 2022, 24 : 1169 - 1191
  • [10] Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
    Zeng, Yan
    Li, Zhongfei
    Lai, Yongzeng
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2013, 52 (03): : 498 - 507
12345