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 an insurer and a reinsurer with mean-variance criterion under the CEV model
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- 所属单位:School of Sciences
- 发表刊物:JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
- 刊物所在地:NETHERLANDS
- 关键字:Reinsurance and investment; Insurer and reinsurer; Mean-variance criterion; Time-consistent strategy
- 摘要:This paper is devoted to derive the time-consistent reinsurance-investment strategy for an insurer and a reinsurer under mean-variance criterion. We aim to maximize the weighted sum of the insurer's and the reinsurer's objectives with different risk averse coefficients. The claim process is assumed to follow a Brownian motion with drift and the insurer can purchase proportional reinsurance from the reinsurer. Moreover, both the insurer and the reinsurer are allowed to invest in a risk-free asset and a risky asset, respectively.
- 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: CE2KR
- 卷号:283
- 期号:8
- 页面范围:142-162
- ISSN号:0377-0427
- 是否译文:否