Author : Hui Zhao
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (13 download)
Book Synopsis Time-Consistent Investment-Reinsurance Strategies Towards Joint Interests of the Insurer and the Reinsurer Under CEV Models by : Hui Zhao
Download or read book Time-Consistent Investment-Reinsurance Strategies Towards Joint Interests of the Insurer and the Reinsurer Under CEV Models written by Hui Zhao and published by . This book was released on 2017 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.