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Mean-variance Optimal Reinsurance-investment Strategy in Continuous Time

School of Finance, Guangdong University of Business Studies, Guangzhou 510320, China

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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Keywords continuous-time; mean-variance; reinsurance-investment strategy

Citation: Daheng Peng, Fang Zhang. Mean-variance Optimal Reinsurance-investment Strategy in Continuous Time. Quantitative Finance and Economics, 2017, 1(3): 320-333. doi: 10.3934/QFE.2017.3.320


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Copyright Info: 2017, Daheng Peng, et al., licensee AIMS Press. This is an open access article distributed under the terms of the Creative Commons Attribution Licese (http://creativecommons.org/licenses/by/4.0)

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