TY - JOUR
T1 - Optimality of excess-loss reinsurance under a mean–variance criterion
AU - Li, Danping
AU - Li, Dongchen
AU - Young, Virginia R.
N1 - Publisher Copyright:
© 2017 Elsevier B.V.
PY - 2017/7
Y1 - 2017/7
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
AN - SCOPUS:85019992296
SN - 0167-6687
VL - 75
SP - 82
EP - 89
JO - Insurance: Mathematics and Economics
JF - Insurance: Mathematics and Economics
ER -