کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076347 | 1477207 | 2016 | 24 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers
ترجمه فارسی عنوان
توصیف استراتژی های تعادلی در مسائل مداوم واریانس مداوم برای بیمه گران
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
In this work, we study the equilibrium reinsurance/new business and investment strategy for mean-variance insurers with constant risk aversion. The insurers are allowed to purchase proportional reinsurance, acquire new business and invest in a financial market, where the surplus of the insurers is assumed to follow a jump-diffusion model and the financial market consists of one riskless asset and a multiple risky assets whose price processes are driven by Poisson random measures and independent Brownian motions. By using a version of the stochastic maximum principle approach, we characterize the open loop equilibrium strategies via a stochastic system which consists of a flow of forward-backward stochastic differential equations (FBSDEs in short) and an equilibrium condition. Then by decoupling the flow of FSBDEs, an explicit representation of an equilibrium solution is derived as well as its corresponding objective function value.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 68, May 2016, Pages 212-223
Journal: Insurance: Mathematics and Economics - Volume 68, May 2016, Pages 212-223
نویسندگان
Ishak Alia, Farid Chighoub, Ayesha Sohail,