Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
复制标题
DOI：
10.2139/ssrn.2432207
复制
发表时间：
2014-04
期刊：
影响因子：
--
通讯作者：
Hui Zhao;Chengguo Weng;Yang Shen;Yan Zeng
中科院分区：
文献类型：
--
作者：
Hui Zhao;Chengguo Weng;Yang Shen;Yan Zeng
本文在均值-方差框架下研究了投资再保险问题的时间相容解。与其他文献不同的是，本文同时考虑了保险人和再保险人的利益。保险人的索赔过程服从一个带漂移的布朗运动。考虑了比例再保险合同，并根据期望值原则计算保费。假设保险人和再保险人都投资于一种风险资产，这是不同的，并由一个常数方差弹性模型驱动。最优决策是基于保险人和再保险人的盈余过程的加权和。通过对一个更一般问题的形式化证明，建立了一个验证定理，得到了所提出的投资再保险模型的显式解。此外，大量的数学分析和数值例子来证明这些衍生的结果以及背后的经济影响。
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.