Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion

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<dc:creator>Li, Yongwu</dc:creator>
<dc:date>2013-07-01</dc:date>
<dc:description xml:lang="es">Sumario: In this paper, we study an insurer¿s optimal time-consistent strategies under the meanvariance criterion with state dependent risk aversion. It is assumed that the surplus process is approximated by a diffusion process. The insurer can purchase proportional reinsurance and invest in a financial market which consists of one risk-free asset and multiple risky assets whose price processes follow geometric Brownian motions. Under these, we consider two optimization problems, an investmentreinsurance problem and an investment-only problem. In particular, when the risk aversion depends dynamically on current wealth, the model is more realistic. Using the approach developed by Björk and Murgoci (2009), the optimal time-consistent strategies for the two problems are derived by means of corresponding extension of the HamiltonJacobiBellman equation. The optimal time-consistent strategies are dependent on current wealth, this case thus is more reasonable than the one with constant risk aversion</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/143870.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion </dc:title>
<dc:relation xml:lang="es">En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 01/07/2013 Volumen 53 Número 1 - julio 2013 </dc:relation>
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