Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process

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<title>Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process</title>
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<namePart>Shen, Yang</namePart>
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<abstract displayLabel="Summary">This paper studies an optimal investmentreinsurance problem for an insurer with a surplus process represented by the CramérLundberg model. The insurer is assumed to be a meanvariance optimizer. The financial market consists of one risk-free asset and one risky asset. The market price of risk depends on a Markovian, affine-form, square-root stochastic factor process, while the volatility and appreciation rate of the risky asset are given by non-Markovian, unbounded processes. The insurer faces the decision-making problem of choosing to purchase reinsurance, acquire new business and invest its surplus in the financial market such that the mean and variance of its terminal wealth is maximized and minimized simultaneously. We adopt a backward stochastic differential equation approach to solve the problem. Closed-form expressions for the efficient frontier and efficient strategy of the meanvariance problem are derived. Numerical examples are presented to illustrate our results in two special cases, the constant elasticity of variance model and Heston¿s model.</abstract>
<note type="statement of responsibility">Yang Shen, Yan Zeng</note>
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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>
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<text>04/05/2015 Volumen 62 - mayo 2015 </text>
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