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- Title
Optimal Mean-Variance Investment-Reinsurance Strategy for a Dependent Risk Model with Ornstein-Uhlenbeck Process.
- Authors
Tian, Yingxu; Sun, Zhongyang; Guo, Junyi
- Abstract
In this paper, we investigate the optimal investment-reinsurance strategy for an insurer with two dependent classes of insurance business, where the claim number processes are correlated through a common shock. It is assumed that the insurer can invest her wealth into one risk-free asset and multiple risky assets, and meanwhile, the instantaneous rates of investment return are stochastic and follow mean-reverting processes. Based on the theory of linear-quadratic control, we adopt a backward stochastic differential equation (BSDE) approach to solve the mean-variance optimization problem. Explicit expressions for both the efficient strategy and efficient frontier are derived. Finally, numerical examples are presented to illustrate our results.
- Subjects
ORNSTEIN-Uhlenbeck process; STOCHASTIC differential equations
- Publication
Methodology & Computing in Applied Probability, 2022, Vol 24, Issue 2, p1169
- ISSN
1387-5841
- Publication type
Article
- DOI
10.1007/s11009-021-09902-5