Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model

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Affiliation of Author(s):School of Sciences

Journal:JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

Place of Publication:NETHERLANDS

Key Words:Reinsurance and investment; Insurer and reinsurer; Mean-variance criterion; Time-consistent strategy

Abstract: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.

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: CE2KR

Volume:283

Issue:8

Page Number:142-162

ISSN No.:0377-0427

Translation or Not:no