Mean-variance Optimal Reinsurance-investment Strategy in Continuous Time

Daheng Peng; Fang Zhang; Daheng Peng; Fang Zhang

doi:10.3934/QFE.2017.3.320

Quantitative Finance and Economics

2017, Volume 1, Issue 3: 320-333. doi: 10.3934/QFE.2017.3.320

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Research article

Mean-variance Optimal Reinsurance-investment Strategy in Continuous Time

Daheng Peng ^,,
Fang Zhang

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

Received: 29 June 2017 Accepted: 19 September 2017 Published: 12 October 2017

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.
- continuous-time,
- mean-variance,
- reinsurance-investment strategy
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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