 Time-consistent investment and reinsurance strategies for mean-variance insurers with relative performance concerns under the Heston modelHuainian Zhu, Ming Cao and Chengke Zhang Finance Research Letters, 2019, vol. 30, issue C, 280-291 Abstract: This paper considers the optimal time-consistent investment and reinsurance strategies for two mean-variance insurers subject to the relative performance concerns. Each insurer can purchase a reinsurance protection and invest in a financial market consisted of one risk-free asset and one risky asset. We assume that the price process of risky asset is driven by the Heston model. The main objective of each insurer is to choose a investment and reinsurance strategy such that the mean and variance of his relative terminal wealth with respect to that of his competitor is maximized and minimized, simultaneously. By applying the stochastic control theory, closed-form expressions for the equilibrium investment-reinsurance strategies and corresponding value functions are derived. Finally, we provide some numerical studies and draw some economic interpretations. Keywords: Investment and reinsurance; Relative performance; Time-consistency; Heston model; Nash equilibrium; Mean-variance (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:30:y:2019:i:c:p:280-291 DOI: 10.1016/j.frl.2018.10.009 Access Statistics for this article Finance Research Letters is currently edited by R. Gençay More articles in Finance Research Letters from Elsevier |
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