The Time-Consistent Optimal Reinsurance Strategy of Insurance Group under the CEV Model  

作　　者：Yuhong Yang Aiyin Wang 

机构地区：[1]School of Statistics and Data Science,Xinjiang University of Finance and Economics,Urumqi 830012,Xinjiang,China

出　　处：《Proceedings of Business and Economic Studies》2024年第2期205-221,共17页商业经济研究（百图）

摘　　要：The article introduces proportional reinsurance contracts under the mean-variance criterion,studying the time-consistence investment portfolio problem considering the interests of both insurance companies and reinsurance companies.The insurance claims process follows a jump-diffusion model,assuming that the risk asset prices of insurance companies and reinsurance companies follow CEV models different from each other.In the framework of game theory,the time-consistent equilibrium reinsurance strategy is obtained by solving the extended HJB equation analytically.Finally,numerical examples are used to illustrate the impact of model parameters on equilibrium strategies and provide economic explanations.The results indicate that the decision weights of insurance companies and reinsurance companies do have a significant impact on both the reinsurance ratio and the equilibrium reinsurance strategy.

关 键 词：MEAN-VARIANCE Joint benefit Extended HJB equation Constant elastic variance model 

分 类 号：F42[经济管理—产业经济]