Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk

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Affiliation of Author(s):School of Sciences

Journal:INSURANCE MATHEMATICS & ECONOMICS

Place of Publication:NETHERLANDS

Key Words:Reinsurance and investment; Mean-variance criterion; Time-consistent strategy; Stochastic interest r

Abstract: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.

All the Authors:Li Danping, Rong Ximin, Zhao Hui

First Author:Li Danping

Indexed by:Unit Twenty Basic Research

Correspondence Author:Zhao Hui

Document Code:SCI: CS5QU

Volume:64

Issue:5

Page Number:28-44

ISSN No.:0167-6687

Translation or Not:no