Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information
Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information
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DOI：
10.1007/s10255-016-0629-y
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发表时间：
2016-10
期刊：
影响因子：
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通讯作者：
Jingyi Cao;Xingchun Peng;Yilei Hu
中科院分区：
文献类型：
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作者：
Jingyi Cao;Xingchun Peng;Yilei Hu
本文研究了均值-方差准则下的最优时间一致性投资和比例再保险策略问题，其中保险人拥有关于其索赔过程未来实现的内部信息.假设保险人的盈余服从带漂移的布朗运动，保险人有可能通过购买比例再保险和投资金融市场来降低风险。我们首先制定的问题，并提供了一个验证定理的扩展Hamilton-Jacobi-Bellman方程。然后，得到了优化问题的最优策略的封闭表达式。
In this paper, we consider the problem of the optimal time-consistent investment and proportional reinsurance strategy under the mean-variance criterion, in which the insurer has some inside information at her disposal concerning the future realizations of her claims process. It is assumed that the surplus of the insurer is governed by a Brownian motion with drift, and the insurer has the possibility to reduce the risk by purchasing proportional reinsurance and investing in financial markets. We first formulate the problem and provide a verification theorem on the extended Hamilton-Jacobi-Bellman equations. Then, the closed-form expression is obtained for the optimal strategy of the optimization problem.