Equilibrium excess-of-loss reinsurance-investment strategy for a mean-variance insurer under stochastic volatility model

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Affiliation of Author(s):School of Mathematics

Journal:COMMUNICATIONS IN STATISTICS-THEORY AND METHODS

Place of Publication:USA

Key Words:Equilibrium strategy; excess-of-loss reinsurance; mean-variance criterion; square-root model; stocha

Abstract: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

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:FF1PP

Volume:46

Issue:19

Page Number:9459-9475

ISSN No.:0361-0926

Translation or Not:no