کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076381 1477211 2015 31 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
ترجمه فارسی عنوان
استراتژی سرمایه گذاری بازنشستگی زمانی برای یک بیمه متوسط ​​واریانس در مدل نرخ بهره تصادفی و ریسک تورم
کلمات کلیدی
بیمه بازنشستگی و سرمایه گذاری، معیار معیار واریانس، استراتژی سازگار با زمان، نرخ بهره تصادفی، شاخص تورم تصادفی، کنترل تصادفی،
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
In this paper, we consider the time-consistent reinsurance-investment strategy under the mean-variance criterion for an insurer whose surplus process is described by a Brownian motion with drift. The insurer can transfer part of the risk to a reinsurer via proportional reinsurance or acquire new business. Moreover, stochastic interest rate and inflation risks are taken into account. To reduce the two kinds of risks, not only a risk-free asset and a risky asset, but also a zero-coupon bond and Treasury Inflation Protected Securities (TIPS) are available to invest in for the insurer. Applying stochastic control theory, we provide and prove a verification theorem and establish the corresponding extended Hamilton-Jacobi-Bellman (HJB) equation. By solving the extended HJB equation, we derive the time-consistent reinsurance-investment strategy as well as the corresponding value function for the mean-variance problem, explicitly. Furthermore, we formulate a precommitment mean-variance problem and obtain the corresponding time-inconsistent strategy to compare with the time-consistent strategy. Finally, numerical simulations are presented to illustrate the effects of model parameters on the time-consistent strategy.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 64, September 2015, Pages 28-44
نویسندگان
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