publication . Article . 2017

Mean-variance Optimal Reinsurance-investment Strategy in Continuous Time

Fang Zhang; Daheng Peng;
Open Access
  • Published: 01 Oct 2017 Journal: Quantitative Finance and Economics, volume 1, pages 320-333 (issn: 2573-0134, Copyright policy)
  • Publisher: American Institute of Mathematical Sciences (AIMS)
Abstract
In this paper, Lagrange method is used to solve the continuous-time mean-variance reinsurance-investment problem. Proportional reinsurance, multiple risky assets and risk-free asset are considered synthetically in the optimal strategy for insurers. By solving the backward stochastic differential equation for the Lagrange multiplier, we get the mean-variance optimal reinsurance-investment strategy and its effective frontier in explicit forms.
doi: 10.3934/qfe.2017.3.320
Subjects
arXiv: Mathematics::Optimization and Control
free text keywords: continuous-time, mean-variance, reinsurance-investment strategy, Applied mathematics. Quantitative methods, T57-57.97, Finance, HG1-9999, Mathematical economics, Mathematical optimization, Stochastic differential equation, Lagrange multiplier, symbols.namesake, symbols, Mean variance, Economics, Investment strategy, Reinsurance
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