File Download
There are no files associated with this item.
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.1007/s00186-018-00657-3
- Scopus: eid_2-s2.0-85060149959
- WOS: WOS:000486504100005
- Find via
Supplementary
- Citations:
- Appears in Collections:
Article: Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
Title | Optimal mean-variance investment/reinsurance with common shock in a regime-switching market |
---|---|
Authors | |
Keywords | Common shock Efficient frontier Mean–variance criterion Optimal investment-reinsurance strategy Regime-switching |
Issue Date | 2019 |
Publisher | Physica-Verlag GmbH und Co. The Journal's web site is located at http://www.springer.com/mathematics/journal/186 |
Citation | Mathematical Methods of Operations Research, 2019, v. 90, p. 109-135 How to Cite? |
Abstract | In this paper, we consider the problem of optimal investment-reinsurance with two dependent classes of insurance risks in a regime-switching financial market. In our model, the two claim-number processes are correlated through a common shock component, and the market mode is classified into a finite number of regimes. We also assume that the insurer can purchase proportional reinsurance and invest its surplus in a financial market, and that the values of the model parameters depend on the market mode. Using the techniques of stochastic linear-quadratic control, under the mean–variance criterion, we obtain analytic expressions for the optimal investment and reinsurance strategies, and derive closed-form expressions for the efficient strategies and the efficient frontiers which are based on the solutions to some systems of linear ordinary differential equations. Finally, we carry out a numerical study for illustration purpose. |
Persistent Identifier | http://hdl.handle.net/10722/271288 |
ISSN | 2023 Impact Factor: 0.9 2023 SCImago Journal Rankings: 0.535 |
ISI Accession Number ID |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Bi, J | - |
dc.contributor.author | Liang, Z | - |
dc.contributor.author | Yuen, KC | - |
dc.date.accessioned | 2019-06-24T01:07:00Z | - |
dc.date.available | 2019-06-24T01:07:00Z | - |
dc.date.issued | 2019 | - |
dc.identifier.citation | Mathematical Methods of Operations Research, 2019, v. 90, p. 109-135 | - |
dc.identifier.issn | 1432-2994 | - |
dc.identifier.uri | http://hdl.handle.net/10722/271288 | - |
dc.description.abstract | In this paper, we consider the problem of optimal investment-reinsurance with two dependent classes of insurance risks in a regime-switching financial market. In our model, the two claim-number processes are correlated through a common shock component, and the market mode is classified into a finite number of regimes. We also assume that the insurer can purchase proportional reinsurance and invest its surplus in a financial market, and that the values of the model parameters depend on the market mode. Using the techniques of stochastic linear-quadratic control, under the mean–variance criterion, we obtain analytic expressions for the optimal investment and reinsurance strategies, and derive closed-form expressions for the efficient strategies and the efficient frontiers which are based on the solutions to some systems of linear ordinary differential equations. Finally, we carry out a numerical study for illustration purpose. | - |
dc.language | eng | - |
dc.publisher | Physica-Verlag GmbH und Co. The Journal's web site is located at http://www.springer.com/mathematics/journal/186 | - |
dc.relation.ispartof | Mathematical Methods of Operations Research | - |
dc.subject | Common shock | - |
dc.subject | Efficient frontier | - |
dc.subject | Mean–variance criterion | - |
dc.subject | Optimal investment-reinsurance strategy | - |
dc.subject | Regime-switching | - |
dc.title | Optimal mean-variance investment/reinsurance with common shock in a regime-switching market | - |
dc.type | Article | - |
dc.identifier.email | Yuen, KC: kcyuen@hku.hk | - |
dc.identifier.authority | Yuen, KC=rp00836 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1007/s00186-018-00657-3 | - |
dc.identifier.scopus | eid_2-s2.0-85060149959 | - |
dc.identifier.hkuros | 298139 | - |
dc.identifier.volume | 90 | - |
dc.identifier.spage | 109 | - |
dc.identifier.epage | 135 | - |
dc.identifier.isi | WOS:000486504100005 | - |
dc.publisher.place | Germany | - |
dc.identifier.issnl | 1432-2994 | - |