Optimality of excess-loss reinsurance under a mean–variance criterion

Danping Li; Dongchen Li; Virginia R. Young

doi:10.1016/j.insmatheco.2017.05.001

Optimality of excess-loss reinsurance under a mean–variance criterion

Danping Li
, Dongchen Li
, Virginia R. Young^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

35 Scopus citations

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.

Original language	English
Pages (from-to)	82-89
Number of pages	8
Journal	Insurance: Mathematics and Economics
Volume	75
DOIs	https://doi.org/10.1016/j.insmatheco.2017.05.001
State	Published - Jul 2017
Externally published	Yes

Keywords

Equilibrium reinsurance–investment strategy
Excess-loss reinsurance
Lévy insurance model
Mean–variance criterion
Proportional reinsurance

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10.1016/j.insmatheco.2017.05.001

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title = "Optimality of excess-loss reinsurance under a mean–variance criterion",

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 L{\'e}vy 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.",

keywords = "Equilibrium reinsurance–investment strategy, Excess-loss reinsurance, L{\'e}vy insurance model, Mean–variance criterion, Proportional reinsurance",

author = "Danping Li and Dongchen Li and Young, \{Virginia R.\}",

note = "Publisher Copyright: {\textcopyright} 2017 Elsevier B.V.",

year = "2017",

month = jul,

doi = "10.1016/j.insmatheco.2017.05.001",

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N2 - 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.

AB - 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.

KW - Equilibrium reinsurance–investment strategy

KW - Excess-loss reinsurance

KW - Lévy insurance model

KW - Mean–variance criterion

KW - Proportional reinsurance

UR - https://www.scopus.com/pages/publications/85019992296

U2 - 10.1016/j.insmatheco.2017.05.001

DO - 10.1016/j.insmatheco.2017.05.001

M3 - 文章

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SN - 0167-6687

VL - 75

SP - 82

EP - 89

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

ER -

Optimality of excess-loss reinsurance under a mean–variance criterion

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Keywords

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