Optimality of excess-loss reinsurance under a mean-variance criterion
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Publication:2364009
DOI10.1016/J.INSMATHECO.2017.05.001zbMATH Open1394.91222arXiv1703.01984OpenAlexW2594978493MaRDI QIDQ2364009FDOQ2364009
Authors: Danping Li, Dongchen Li, Virginia R. Young 
Publication date: 17 July 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1703.01984
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Cited In (24)
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