荣喜民
- 教师拼音名称：Rong Ximin
- 出生日期：1963-09-06
- 性别：男
- 职称：副教授
- 所属院系：数学学院
Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
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- 所属单位:School of Sciences
- 发表刊物:INSURANCE MATHEMATICS & ECONOMICS
- 刊物所在地:NETHERLANDS
- 关键字:Reinsurance and investment; Mean-variance criterion; Time-consistent strategy; Stochastic interest r
- 摘要:In this paper, we consider the time-consistent reinsurance-investment strategy under the mean-variance criterion for an insurer whose surplus process is described by a Brownian motion with drift. The insurer can transfer part of the risk to a reinsurer via proportional reinsurance or acquire new business. Moreover, stochastic interest rate and inflation risks are taken into account. To reduce the two kinds of risks, not only a risk-free asset and a risky asset, but also a zero-coupon bond and Treasury Inflation Protected Securities (TIPS) are available to invest in for the insurer.
- 合写作者:Li Danping, Rong Ximin, Zhao Hui
- 第一作者:Li Danping
- 论文类型:Unit Twenty Basic Research
- 通讯作者:Zhao Hui
- 论文编号:SCI: CS5QU
- 卷号:64
- 期号:5
- 页面范围:28-44
- ISSN号:0167-6687
- 是否译文:否