Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model

Liming Zhang, Rongming Wang and Jiaqin Wei

Statistical Theory and Related Fields, 2020, vol. 4, issue 2, 214-227

Abstract: This paper is devoted to study the proportional reinsurance/new business and investment problem under the mean-variance criterion in a continuous-time setting. The strategies are constrained in the non-negative cone and all coefficients in the model except the interest rate are stochastic processes adapted the filtration generated by a Markov chain. With the help of a backward stochastic differential equation driven by the Markov chain, we obtain the optimal strategy and optimal cost explicitly under this non-Markovian regime-switching model. The cases with one risky asset and Markov regime-switching model are considered as special cases.

Date: 2020
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/24754269.2020.1719356 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:tstfxx:v:4:y:2020:i:2:p:214-227

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/tstf20

DOI: 10.1080/24754269.2020.1719356

Access Statistics for this article

Statistical Theory and Related Fields is currently edited by Zhao Wei

More articles in Statistical Theory and Related Fields from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().