Optimal mean-variance investment and reinsurance strategies with a general Lévy process risk model
| Autor: | Haoran Yi, Yuanchuang Shan, Huisheng Shu, Xuekang Zhang |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2024 |
| Předmět: | |
| Zdroj: | Systems Science & Control Engineering, Vol 12, Iss 1 (2024) |
| Druh dokumentu: | article |
| ISSN: | 21642583 2164-2583 |
| DOI: | 10.1080/21642583.2024.2306831 |
| Popis: | This paper is concerned with the optimal time-consistent investment and reinsurance strategies for mean-variance insurers with a general Lévy Process model. Expressly, the insurers are allowed to purchase proportional reinsurance and invest in a financial market, where the surplus of the insurers is assumed to follow a Cramér–Lundberg model and the financial market consists of one risk-free asset and one risky asset whose price process is driven by a general Lévy process. Through the verification theorem, the closed-form expressions of the optimal strategies under the mean-variance criterion are derived by a complex partial integral differential Hamilton–Jacobi–Bellman equations. Finally, numerical simulations are provided to verify the effectiveness of the proposed optimal strategies and some economic interpretations are drawn. |
| Databáze: | Directory of Open Access Journals |
| Externí odkaz: |
|