Optimality of Excess-Loss Reinsurance under a Mean-Variance Criterion
Risk Management
2017-03-22 v2
Abstract
In this paper, we study an insurer's reinsurance-investment problem under a mean-variance criterion. We show that excess-loss is the unique equilibrium reinsurance strategy under a spectrally negative L\'{e}vy insurance model when the reinsurance premium is computed according to the expected value premium principle. Furthermore, we obtain the explicit equilibrium reinsurance-investment strategy by solving the extended Hamilton-Jacobi-Bellman equation.
Keywords
Cite
@article{arxiv.1703.01984,
title = {Optimality of Excess-Loss Reinsurance under a Mean-Variance Criterion},
author = {Danping Li and Dongchen Li and Virginia R. Young},
journal= {arXiv preprint arXiv:1703.01984},
year = {2017}
}