mean-variance optimal reinsurance-investment strategy in continuous time
;Daheng Peng;Fang Zhang
journal of french and francophone philosophy2017Vol. 1pp. 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.