Research article
Mean-variance Optimal Reinsurance-investment Strategy in Continuous Time
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Received:
29 June 2017
Accepted:
19 September 2017
Published:
12 October 2017
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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.
Citation: Daheng Peng, Fang Zhang. Mean-variance Optimal Reinsurance-investment Strategy in Continuous Time[J]. Quantitative Finance and Economics, 2017, 1(3): 320-333. doi: 10.3934/QFE.2017.3.320
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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.
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