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Article: Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework

TitleOptimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
Authors
Issue Date15-May-2023
PublisherElsevier
Citation
European Journal of Operational Research, 2023 How to Cite?
Abstract

In this paper, we study the optimal time-consistent reinsurance-investment problem for a risk model with the thinning-dependence structure. The insurer’s wealth process is described by a jump-diffusion risk model with two dependent classes of insurance business. We assume that the insurer is allowed to purchase per-loss reinsurance and invest its surplus in a financial market consisting of a risk-free asset and a risky asset. Also, the performance-related capital inflow or outflow feature is introduced, and the wealth process is modeled by a stochastic delay differential equation. Under the time-inconsistent mean-variance criterion, we derive the explicit optimal reinsurance-investment strategy and value function under the expected value premium principle as well as the variance premium principle by solving the extended Hamilton-Jacobi-Bellman (HJB) delay system. In particular, we prove the existence and uniqueness of the optimal strategy under the expected value premium principle. Finally, some numerical examples are provided to illustrate the influence of model parameters on the optimal strategy.


Persistent Identifierhttp://hdl.handle.net/10722/328482
ISSN
2023 Impact Factor: 6.0
2023 SCImago Journal Rankings: 2.321

 

DC FieldValueLanguage
dc.contributor.authorYuan, Y-
dc.contributor.authorHan, X-
dc.contributor.authorLiang, Z-
dc.contributor.authorYuen, KC-
dc.date.accessioned2023-06-28T04:45:21Z-
dc.date.available2023-06-28T04:45:21Z-
dc.date.issued2023-05-15-
dc.identifier.citationEuropean Journal of Operational Research, 2023-
dc.identifier.issn0377-2217-
dc.identifier.urihttp://hdl.handle.net/10722/328482-
dc.description.abstract<p> In this paper, we study the optimal time-consistent reinsurance-investment problem for a risk model with the thinning-dependence structure. The insurer’s wealth process is described by a jump-diffusion risk model with two dependent classes of insurance business. We assume that the insurer is allowed to purchase per-loss reinsurance and invest its surplus in a financial market consisting of a risk-free asset and a risky asset. Also, the performance-related capital inflow or outflow feature is introduced, and the wealth process is modeled by a stochastic delay differential equation. Under the time-inconsistent mean-variance criterion, we derive the explicit optimal reinsurance-investment strategy and value function under the expected value premium principle as well as the variance premium principle by solving the extended Hamilton-Jacobi-Bellman (HJB) delay system. In particular, we prove the existence and uniqueness of the optimal strategy under the expected value premium principle. Finally, some numerical examples are provided to illustrate the influence of model parameters on the optimal strategy. <br></p>-
dc.languageeng-
dc.publisherElsevier-
dc.relation.ispartofEuropean Journal of Operational Research-
dc.titleOptimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework-
dc.typeArticle-
dc.identifier.doi10.1016/j.ejor.2023.05.023-
dc.identifier.eissn1872-6860-
dc.identifier.issnl0377-2217-

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