Finally, we provide numerical examples to illustrate the impacts of model parameters on the time-consistent strategy.
📌 3 Maddede Bu Makale
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Amaç & Hipotez:This paper studies an optimal reinsurance-investment problem for a mean-variance insurer with defaultable security and jumps.
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Temel Bulgular & Veri:Furthermore, we derive the closed-from expressions for the time-consistent reinsurance-investment strategy and the corresponding value function.
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Sonuç & Katkı:Finally, we provide numerical examples to illustrate the impacts of model parameters on the time-consistent strategy.
This paper studies an optimal reinsurance-investment problem for a mean-variance insurer with defaultable security and jumps. Specially, we assume that the risky asset's price process is described by a geometric Lévy process. By using a game theoretic approach, we establish the extended Hamilton-Jacobi-Bellman system for the post-default case and the pre-default case, respectively. Furthermore, we derive the closed-from expressions for the time-consistent reinsurance-investment strategy and the corresponding value function. Finally, we provide numerical examples to illustrate the impacts of model parameters on the time-consistent strategy.
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