Optimal investment-reinsurance with delay for mean-variance insurers : a maximum principle approach

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<title>Optimal investment-reinsurance with delay for mean-variance insurers</title>
<subTitle>: a maximum principle approach</subTitle>
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<namePart>Shen, Yang</namePart>
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<namePart>Zeng, Yan</namePart>
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<abstract displayLabel="Summary">This paper is concerned with an optimal investment and reinsurance problem with delay for an insurer under the meanvariance criterion. A three-stage procedure is employed to solve the insurer's meanvariance problem. We first use the maximum principle approach to solve a benchmark problem. Then applying the Lagrangian duality method, we derive the optimal solutions for a variance-minimization problem. Based on these solutions, we finally obtain the efficient strategy and the efficient frontier of the insurer's meanvariance problem. Some numerical examples are also provided to illustrate our results.</abstract>
<note type="statement of responsibility">Yang Shen,  Yan Zeng</note>
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<topic>Análisis de inversiones</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080552367">
<topic>Reaseguro</topic>
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<topic>Intereses de demora</topic>
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<topic>Modelo estocástico</topic>
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<topic>Cálculo actuarial</topic>
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<topic>Matemática del seguro</topic>
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<topic>Casos prácticos</topic>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
<part>
<text>07/07/2014 Volumen 57 Número 1 - julio 2014 , p. 1-12</text>
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