Optimality of excess-loss reinsurance under a mean–variance criterion

Danping Li, Dongchen Li and Virginia R. Young

Insurance: Mathematics and Economics, 2017, vol. 75, issue C, 82-89

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 Lévy 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: Mean–variance criterion; Equilibrium reinsurance–investment strategy; Excess-loss reinsurance; Proportional reinsurance; Lévy insurance model (search for similar items in EconPapers)
JEL-codes: C73 G22 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:75:y:2017:i:c:p:82-89

DOI: 10.1016/j.insmatheco.2017.05.001

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