mean-variance optimal reinsurance-investment strategy in continuous time

استراتيجية إعادة التأمين والاستثمار المثلى وفق معيار المتوسط-التباين في الزمن المستمر

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2017
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Abstract
In this paper, Lagrange method is used to solve the continuous-time mean-variance reinsurance-investment problem. Proportional reinsurance, multiple risky assets and risk-free asset are considered synthetically in the optimal strategy for insurers. By solving the backward stochastic differential equation for the Lagrange multiplier, we get the mean-variance optimal reinsurance-investment strategy and its effective frontier in explicit forms.
تُستخدم في هذه الورقة البحثية طريقة لاغرانج لحل مسألة إعادة التأمين والاستثمار وفق معيار المتوسط والتباين في الزمن المستمر. ويُؤخذ في الاعتبار، على نحوٍ تركيبي، كلٌّ من إعادة التأمين النسبي، والأصول الخطرة المتعددة، والأصل الخالي من المخاطر ضمن الاستراتيجية المثلى للمؤمِّنين. ومن خلال حل المعادلة التفاضلية العشوائية التراجعية لمضاعف لاغرانج، نحصل على الاستراتيجية المثلى لإعادة التأمين والاستثمار وفق معيار المتوسط والتباين وحدِّها الفعّال في صيغ صريحة.
Reference Key
peng2017quantitativemean-variance Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Daheng Peng, Fang Zhang
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Journal journal of french and francophone philosophy
Year 2017
DOI
10.3934/QFE.2017.3.320
URL
http://www.aimspress.com/QFE/article/1648/fulltext.html
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