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

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      <subfield code="a">Optimal investment-reinsurance with delay for mean-variance insurers</subfield>
      <subfield code="b">: a maximum principle approach</subfield>
      <subfield code="c">Yang Shen,  Yan Zeng</subfield>
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      <subfield code="a">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.</subfield>
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      <subfield code="a">Zeng, Yan</subfield>
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      <subfield code="t">Insurance : mathematics and economics</subfield>
      <subfield code="d">Oxford : Elsevier, 1990-</subfield>
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      <subfield code="g">07/07/2014 Volumen 57 Número 1 - julio 2014 , p. 1-12</subfield>