Optimality of excess-loss reinsurance under a mean-variance criterion
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Publication:2364009
Abstract: In this paper, we study an insurer's reinsurance-investment problem under a mean-variance criterion. We show that excess-loss is the unique equilibrium reinsurance strategy under a spectrally negative L'{e}vy insurance model when the reinsurance premium is computed according to the expected value premium principle. Furthermore, we obtain the explicit equilibrium reinsurance-investment strategy by solving the extended Hamilton-Jacobi-Bellman equation.
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Cited in
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- scientific article; zbMATH DE number 5027121 (Why is no real title available?)
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