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• W2327763718 startingPage "673" @default.
• W2327763718 abstract "This paper considers an optimal reinsurance-investment problem foran insurer, who aims to minimize the risk measured byCapital-at-Risk (CaR) with the constraint that the expected terminalwealth is not less than a predefined level. The surplus of theinsurer is described by a Brownian motion with drift. The insurercan control her/his risk by purchasing proportional reinsurance,acquiring new business, and investing her/his surplus in a financialmarket consisting of one risk-free asset and multiple risky assets.Three mean-CaR models are constructed. By transforming these modelsinto bilevel optimization problems, we derive the explicitexpressions of the optimal deterministic rebalancereinsurance-investment strategies and the mean-CaR efficientfrontiers. Sensitivity analysis of the results and a numericalexample are provided." @default.
• W2327763718 created "2016-06-24" @default.
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• W2327763718 date "2012-06-01" @default.
• W2327763718 modified "2023-09-25" @default.
• W2327763718 title "Optimal reinsurance-investment strategies for insurers under mean-CaR criteria" @default.
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• W2327763718 doi "https://doi.org/10.3934/jimo.2012.8.673" @default.
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