再保险
汉密尔顿-雅各比-贝尔曼方程
跳跃扩散
贝尔曼方程
差异(会计)
独特性
经济
投资策略
资产(计算机安全)
投资(军事)
数学
计量经济学
数学优化
跳跃
精算学
计算机科学
微观经济学
利润(经济学)
数学分析
物理
会计
计算机安全
量子力学
政治
政治学
法学
作者
Yu Yuan,Xia Han,Zhibin Liang,Kam Chuen Yuen
标识
DOI:10.1016/j.ejor.2023.05.023
摘要
In this paper, we study the optimal time-consistent reinsurance-investment problem for a risk model with the thinning-dependence structure. The insurer’s wealth process is described by a jump-diffusion risk model with two dependent classes of insurance business. We assume that the insurer is allowed to purchase per-loss reinsurance and invest its surplus in a financial market consisting of a risk-free asset and a risky asset. Also, the performance-related capital inflow or outflow feature is introduced, and the wealth process is modeled by a stochastic delay differential equation. Under the time-inconsistent mean-variance criterion, we derive the explicit optimal reinsurance-investment strategy and value function under the expected value premium principle as well as the variance premium principle by solving the extended Hamilton–Jacobi–Bellman (HJB) delay system. In particular, we prove the existence and uniqueness of the optimal strategy under the expected value premium principle. Finally, some numerical examples are provided to illustrate the influence of model parameters on the optimal strategy.
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