Optimality of Excess-Loss Reinsurance under a Mean-Variance Criterion

Danping Li, Dongchen Li and Virginia R. Young

Papers from arXiv.org

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.

Date: 2017-03, Revised 2017-03
New Economics Papers: this item is included in nep-ias and nep-rmg
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1703.01984

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