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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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