Mean reflected BSDE driven by a marked point process and application in insurance risk management
Probability
2023-10-25 v1
Abstract
This paper aims to solve a super-hedging problem along with insurance re-payment under running risk management constraints. The initial endowment for the super-heding problem is characterized by a class of mean reflected backward stochastic differential equation driven by a marked point process (MPP) and a Brownian motion. By Lipschitz assumptions on the generators and proper integrability on the terminal value, we give the well-posedness of this kind of BSDEs by combining a representation theorem with the fixed point argument.
Cite
@article{arxiv.2310.15203,
title = {Mean reflected BSDE driven by a marked point process and application in insurance risk management},
author = {Zihao Gu and Yiqing Lin and Kun Xu},
journal= {arXiv preprint arXiv:2310.15203},
year = {2023}
}
Comments
arXiv admin note: text overlap with arXiv:2310.14728