OPTIMAL REINSURANCE-INVESTMENT STRATEGIES FOR INSURERS UNDER MEAN-CAR CRITERIA

被引：15

作者：

Zeng, Yan ^{[1
]}

Li, Zhongfei ^{[1
]}

机构：

[1] Sun Yat Sen Univ, Sun Yat Sen Business Sch, Lingnan Univ Coll, Guangzhou 510275, Guangdong, Peoples R China

来源：

JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2012年 / 8卷 / 03期

基金：

国家教育部科学基金资助; 中国博士后科学基金; 美国国家科学基金会;

关键词：

Optimal proportional reinsurance-investment strategy; insurers; Capital-at-Risk; Hamilton-Jacobi-Bellman equation; OPTIMAL PROPORTIONAL REINSURANCE; VARIANCE PORTFOLIO SELECTION; RUIN PROBABILITY; RISK PROCESS; BENCHMARK; POLICIES; UTILITY;

D O I：

10.3934/jimo.2012.8.673

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

This paper considers an optimal reinsurance-investment problem for an insurer, who aims to minimize the risk measured by Capital-at-Risk (CaR) with the constraint that the expected terminal wealth is not less than a predefined level. The surplus of the insurer is described by a Brownian motion with drift. The insurer can control her/his risk by purchasing proportional reinsurance, acquiring new business, and investing her/his surplus in a financial market consisting of one risk-free asset and multiple risky assets. Three mean-CaR models are constructed. By transforming these models into bilevel optimization problems, we derive the explicit expressions of the optimal deterministic rebalance reinsurance-investment strategies and the mean-CaR efficient frontiers. Sensitivity analysis of the results and a numerical example are provided.

引用

页码：673 / 690

页数：18

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