mean-variance optimal reinsurance-investment strategy in continuous time

mean-variance optimal reinsurance-investment strategy in continuous time

;Daheng Peng;Fang Zhang
journal of french and francophone philosophy 2017 Vol. 1 pp. 320-333
163
peng2017quantitativemean-variance

Abstract

In this paper, Lagrange method is used to solve the continuous-time mean-variance reinsurance-investment problem. Proportional reinsurance, multiple risky assets and risk-free asset are considered synthetically in the optimal strategy for insurers. By solving the backward stochastic differential equation for the Lagrange multiplier, we get the mean-variance optimal reinsurance-investment strategy and its effective frontier in explicit forms.

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0x95644003c57E6F55A65596E3D9Eac6813e3566dA
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191100
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10.3934/QFE.2017.3.320
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