A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling (Q2332719)

This paper studies the optimal reinsurance and investment strategy for an insurer with two lines of business, where the claim number processes are made dependent trough a common shock model. The insurer can purchase proportional reinsurance and invest its surplus in a financial market with one risky-free asset and one (no-short selling) risky asset governed by the Heston stochastic volatility model. The insurer problem is to maximize the expectation and, at the same time, minimize the variance of the terminal wealth. The paper well shows how this problem can be solved via BSDEs with a closed-form expression for the optimal strategies and the mean-variance efficient frontiers.