Equilibrium reinsurance-investment strategy with a common shock under two kinds of premium principles
نویسندگان
چکیده
This paper investigates the optimal mean-variance reinsurance-investment problem for an insurer with a common shock dependence under two kinds of popular premium principles: variance principle and expected value principle. We formulate optimization within game theoretic framework derive closed-form expressions equilibrium strategy function different principles by solving extended Hamilton-Jacobi-Bellman system equations. find that principle, proportional reinsurance is shock, while excess-of-loss strategy. In addition, we illustrate numerical examples discuss impacts model parameters on
منابع مشابه
Optimal reinsurance under mean-variance premium principles
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ژورنال
عنوان ژورنال: Rairo-operations Research
سال: 2021
ISSN: ['1290-3868', '0399-0559']
DOI: https://doi.org/10.1051/ro/2021183