OPTIMAL MEAN-VARIANCE REINSURANCE IN A FINANCIAL MARKET WITH STOCHASTIC RATE OF RETURN
OPTIMAL MEAN-VARIANCE REINSURANCE IN A FINANCIAL MARKET WITH STOCHASTIC RATE OF RETURN
复制标题
具有随机回报率的金融市场中的最优均值方差再保险
DOI：
10.3934/jimo.2020051
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发表时间：
2021-07-01
影响因子：
1.3
通讯作者：
Sun, Zhongyang
中科院分区：
文献类型：
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作者：
Tian, Yingxu;Guo, Junyi;Sun, Zhongyang
本文研究了盈余过程为Cramer-Lundberg模型时，均值-方差保险人的最优投资和再保险策略。假设投资的瞬时收益率是随机的，服从Ornstein-Uhlenbeck(OU)过程，可以描述牛市和熊市的特征。对于均值-方差优化问题，我们采用倒向随机微分方程(BSDE)方法，得到了有效策略和有效前沿的显式表达式。最后，给出了数值算例来说明我们的结果。
In this paper, we investigate the optimal investment and reinsurance strategies for a mean-variance insurer when the surplus process is represented by a Cramer-Lundberg model. It is assumed that the instantaneous rate of investment return is stochastic and follows an Ornstein-Uhlenbeck (OU) process, which could describe the features of bull and bear markets. To solve the mean-variance optimization problem, we adopt a backward stochastic differential equation (BSDE) approach and derive explicit expressions for both the efficient strategy and efficient frontier. Finally, numerical examples are presented to illustrate our results.