TY - JOUR
T1 - Optimal investment-reinsurance with delay for mean-variance insurers
T2 - a maximum principle approach
AU - Shen, Yang
AU - Zeng, Yan
PY - 2014/7
Y1 - 2014/7
N2 - This paper is concerned with an optimal investment and reinsurance problem with delay for an insurer under the mean-variance criterion. A three-stage procedure is employed to solve the insurer's mean-variance problem. We first use the maximum principle approach to solve a benchmark problem. Then applying the Lagrangian duality method, we derive the optimal solutions for a variance-minimization problem. Based on these solutions, we finally obtain the efficient strategy and the efficient frontier of the insurer's mean-variance problem. Some numerical examples are also provided to illustrate our results.
AB - This paper is concerned with an optimal investment and reinsurance problem with delay for an insurer under the mean-variance criterion. A three-stage procedure is employed to solve the insurer's mean-variance problem. We first use the maximum principle approach to solve a benchmark problem. Then applying the Lagrangian duality method, we derive the optimal solutions for a variance-minimization problem. Based on these solutions, we finally obtain the efficient strategy and the efficient frontier of the insurer's mean-variance problem. Some numerical examples are also provided to illustrate our results.
KW - Delay
KW - Investment-reinsurance
KW - Mean-variance
KW - Stochastic maximum principle
UR - http://www.scopus.com/inward/record.url?scp=84900796007&partnerID=8YFLogxK
U2 - 10.1016/j.insmatheco.2014.04.004
DO - 10.1016/j.insmatheco.2014.04.004
M3 - Article
VL - 57
SP - 1
EP - 12
JO - Insurance: Mathematics and Economics
JF - Insurance: Mathematics and Economics
SN - 1873-5959
IS - 1
ER -