Sección: ArtículosTítulo: Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion / Yongwu Li, Zhongfei LiAutor: Li, YongwuNotas: 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 aversionRegistros relacionados: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 01/07/2013 Volumen 53 Número 1 - julio 2013 Otras clasificaciones: 6Derechos: In Copyright (InC)Referencias externas:
