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• W2897828736 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." @default.
• W2897828736 created "2018-10-26" @default.
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• W2897828736 date "2019-09-01" @default.
• W2897828736 modified "2023-10-13" @default.
• W2897828736 title "Time-consistent investment and reinsurance strategies for mean-variance insurers with relative performance concerns under the Heston model" @default.
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• W2897828736 doi "https://doi.org/10.1016/j.frl.2018.10.009" @default.
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