کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076237 | 1477205 | 2016 | 14 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence](/preview/png/5076237.png)
In this paper, we study the optimal investment-reinsurance problems in a risk model with two dependent classes of insurance business, where the two claim number processes are correlated through a common shock component. Under the criterion of mean-variance, two cases are considered: One is the optimal mean-variance problem with bankruptcy prohibition, i.e., the wealth process of the insurer is not allowed to be below zero at any time, which is solved by standard martingale approach, and the closed form solutions are derived; The other is the optimal mean-variance problem without bankruptcy prohibition, which is discussed by a very different method-stochastic linear-quadratic control theory, and the explicit expressions of the optimal results are obtained either. In the end, a numerical example is given to illustrate the results and compare the values in the two cases.
Journal: Insurance: Mathematics and Economics - Volume 70, September 2016, Pages 245-258