Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models

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• 作者：Hui Zhao ; ChengGuo Weng ; Yang Shen ; Yan Zeng
• 关键词：investment ; reinsurance problem ; mean ; variance analysis ; time ; consistent strategy ; constant elasticity of variance model
• 刊名：Science China Mathematics
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：60
• 期：2
• 页码：317-344
• 全文大小：
• 刊物类别：Mathematics and Statistics
• 刊物主题：Applications of Mathematics;
• 出版者：Science China Press
• ISSN：1869-1862
• 卷排序：60

文摘

The present paper studies time-consistent solutions to an investment-reinsurance problem under a mean-variance framework. The paper is distinguished from other literature by taking into account the interests of both an insurer and a reinsurer jointly. The claim process of the insurer is governed by a Brownian motion with a drift. A proportional reinsurance treaty is considered and the premium is calculated according to the expected value principle. Both the insurer and the reinsurer are assumed to invest in a risky asset, which is distinct for each other and driven by a constant elasticity of variance model. The optimal decision is formulated on a weighted sum of the insurer’s and the reinsurer’s surplus processes. Upon a verification theorem, which is established with a formal proof for a more general problem, explicit solutions are obtained for the proposed investment-reinsurance model. Moreover, numerous mathematical analysis and numerical examples are provided to demonstrate those derived results as well as the economic implications behind.