Centro de Documentacion de Fundación MAPFRE - Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information

MAP20160001266

Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information / Zongxia Liang, Min Song

Sumario: In this paper, based on equilibrium control law proposed by Björk and Murgoci (2010), we study an optimal investment and reinsurance problem under partial information for insurer with meanvariance utility, where insurer's risk aversion varies over time. Instead of treating this time-inconsistent problem as pre-committed, we aim to find time-consistent equilibrium strategy within a game theoretic framework. In particular, proportional reinsurance, acquiring new business, investing in financial market are available in the market. The surplus process of insurer is depicted by classical Lundberg model, and the financial market consists of one risk free asset and one risky asset with unobservable Markov-modulated regime switching drift process. By using reduction technique and solving a generalized extended HJB equation, we derive closed-form time-consistent investment reinsurance strategy and corresponding value function. Moreover, we compare results under partial information with optimal investment
reinsurance strategy when Markov chain is observable. Finally, some numerical illustrations and sensitivity analysis are provided

En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 02/11/2015 Volumen 65 - noviembre 2015 , p. 66-76

1. Inversiones financieras . 2. Reaseguro . 3. Decisiones estratégicas . 4. Mercados financieros . 5. Matemática del seguro . 6. Cálculo actuarial . I. Song, Min . II. Título.