| LDR | | | 00000cab a2200000 4500 |
| 001 | | | MAP20130027043 |
| 003 | | | MAP |
| 005 | | | 20130905143822.0 |
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| 040 | | | $aMAP$bspa$dMAP |
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| 100 | 1 | | $0MAPA20130011578$aLi, Yongwu |
| 245 | 1 | 0 | $aOptimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion $cYongwu Li, Zhongfei Li |
| 520 | | | $aIn 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 |
| 773 | 0 | | $wMAP20077100574$tInsurance : mathematics and economics$dOxford : Elsevier, 1990-$x0167-6687$g01/07/2013 Volumen 53 Número 1 - julio 2013 |
| 856 | | | $yMÁS INFORMACIÓN$umailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A |
