Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model  

作　　者：Liming Zhang Rongming Wang Jiaqin Wei 

机构地区：[1]Key Laboratory of Advanced Theory and Application in Statistics and Data Science-MOE,School of Statistics,East China Normal University,Shanghai,Peoples Republic of China

出　　处：《Statistical Theory and Related Fields》2020年第2期214-227,共14页统计理论及其应用（英文）

基　　金：supported by the 111 Project[grant number B14019];the National Natural Science Foundation of China[grant numbers 11571113,11601157,11601320].

摘　　要：This paper is devoted to study the proportional reinsurance/new business and investment problem under the mean-variance criterion in a continuous-time setting.The strategies are constrained in the non-negative cone and all coefficients in the model except the interest rate are stochastic processes adapted the filtration generated by a Markov chain.With the help of a backward stochastic differential equation driven by the Markov chain,we obtain the optimal strategy and optimal cost explicitly under this non-Markovian regime-switching model.The cases with one risky asset and Markov regime-switching model are considered as special cases.

关 键 词：Markov chain mean-variance problem non-negative constraints BSDE REGIME-SWITCHING 

分 类 号：O17[理学—数学]