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Optimal reinsurance and investment strategies for an insurer under monotone mean-variance criterion
- Source :
- RAIRO - Operations Research. 55:2469-2489
- Publication Year :
- 2021
- Publisher :
- EDP Sciences, 2021.
-
Abstract
- This paper considers the optimal investment-reinsurance problem under the monotone mean-variance preference. The monotone mean-variance preference is a monotone version of the classical mean-variance preference. First of all, we reformulate the original problem as a zero-sum stochastic differential game. Secondly, the optimal strategy and the optimal value function for the monotone mean-variance problem are derived by the approach of dynamic programming and the Hamilton-Jacobi-Bellman-Isaacs equation. Thirdly, the efficient frontier is obtained and it is proved that the optimal strategy is an efficient strategy. Finally, the continuous-time monotone capital asset pricing model is derived.
Details
- ISSN :
- 12903868 and 03990559
- Volume :
- 55
- Database :
- OpenAIRE
- Journal :
- RAIRO - Operations Research
- Accession number :
- edsair.doi...........6f4b675cc3e20b44634e6c41aaadf5a7