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
Equilibrium excess-of-loss reinsurance-investment strategy for a mean-variance insurer under stochastic volatility model
点击次数:
- 所属单位:School of Mathematics
- 发表刊物:COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
- 刊物所在地:USA
- 关键字:Equilibrium strategy; excess-of-loss reinsurance; mean-variance criterion; square-root model; stocha
- 摘要:This article considers an optimal excess-of-loss reinsurance-investment problem for a mean-variance insurer, and aims to develop an equilibrium reinsurance-investment strategy. The surplus process is assumed to follow the classical Cramer-Lundberg model, and the insurer is allowed to purchase excess-of-loss reinsurance and invest her surplus in a risk-free asset and a risky asset. The market price of risk depends on a Markovian, affine-form and square-root stochastic factor process. investment strategy and the corresponding equilibrium
- 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:FF1PP
- 卷号:46
- 期号:19
- 页面范围:9459-9475
- ISSN号:0361-0926
- 是否译文:否