| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076153 | Insurance: Mathematics and Economics | 2017 | 8 Pages |
Abstract
In this paper, we study an insurer's reinsurance-investment problem under a mean-variance criterion. We show that excess-loss is the unique equilibrium reinsurance strategy under a spectrally negative Lévy insurance model when the reinsurance premium is computed according to the expected value premium principle. Furthermore, we obtain the explicit equilibrium reinsurance-investment strategy by solving the extended Hamilton-Jacobi-Bellman equation.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Danping Li, Dongchen Li, Virginia R. Young,