Optimal Time-consistent Investment and Reinsurance Strategy for Mean-variance Insurers Under the Inside Information  

作　　者：Jing CAO Xing-chun PENG Yi-jun HU 

机构地区：[1]School of Mathematics and Statistics,Wuhan University [2]School of Mathematics and Statistics,South-Central University for Nationalities [3]School of Science,Wuhan University of Technology

出　　处：《Acta Mathematicae Applicatae Sinica》2016年第4期1087-1100,共14页应用数学学报（英文版）

基　　金：Supported in part by the Natural Science Foundation of Hubei Province under Grant 2015CKB737;the National Natural Science Foundation of China under Grant No.11371284

摘　　要：In this paper, we consider the problem of the optimal time-consistent investment and proportional reinsurance strategy under the mean-variance criterion, in which the insurer has some inside information at her disposal concerning the future realizations of her claims process. It is assumed that the surplus of the insurer is governed by a Brownian motion with drift, and the insurer has the possibility to reduce the risk by purchasing proportional reinsurance and investing in financial markets. We first formulate the problem and provide a verification theorem on the extended Hamilton-Jacobi-Bellman equations. Then, the closed-form expression is obtained for the optimal strategy of the optimization problem.In this paper, we consider the problem of the optimal time-consistent investment and proportional reinsurance strategy under the mean-variance criterion, in which the insurer has some inside information at her disposal concerning the future realizations of her claims process. It is assumed that the surplus of the insurer is governed by a Brownian motion with drift, and the insurer has the possibility to reduce the risk by purchasing proportional reinsurance and investing in financial markets. We first formulate the problem and provide a verification theorem on the extended Hamilton-Jacobi-Bellman equations. Then, the closed-form expression is obtained for the optimal strategy of the optimization problem.

关 键 词：REINSURANCE PORTFOLIO inside information TIME-CONSISTENCY mean-variance criterion 

分 类 号：F842[经济管理—保险]