Optimality of excess-loss reinsurance under a mean-variance criterion

被引：32

作者：

Li, Danping ^{[1
]}

Li, Dongchen ^{[1
]}

Young, Virginia R. ^{[2
]}

机构：

[1] Univ Waterloo, Dept Stat & Actuarial Sci, Waterloo, ON N2L 3G1, Canada

[2] Univ Michigan, Dept Math, Ann Arbor, MI 48109 USA

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2017年 / 75卷

关键词：

Mean variance criterion; Equilibrium reinsurance investment strategy; Excess-loss reinsurance; Proportional reinsurance; Levy insurance model; NEGATIVE LEVY PROCESSES; RISK CONTROL; INVESTMENT; INSURERS; INSURANCE; STRATEGY; UTILITY; TIMES;

D O I：

10.1016/j.insmatheco.2017.05.001

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper, we study an insurer's reinsurance investment problem under a mean variance criterion. We show that excess-loss is the unique equilibrium reinsurance strategy under a spectrally negative Levy insurance model when the reinsurance premium is computed according to the expected value premium principle. Furthermore, we obtain the explicit equilibrium reinsurance investment strategy by solving the extended Hamilton Jacobi Bellman equation. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：82 / 89

页数：8

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