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• W2910038468 abstract "In this study, we consider an insurer who manages her underlying risk by purchasing proportional reinsurance and investing in a financial market consisting of a risk-free bond and a risky asset. The objective of the insurer is to identify an investment–reinsurance strategy that minimizes the mean–variance cost function. We obtain a time-consistent open-loop equilibrium strategy and the corresponding efficient frontier in explicit form using two systems of backward stochastic differential equations. Furthermore, we apply our results to Vasiček’s stochastic interest rate model and Heston’s stochastic volatility model. In both cases, we obtain a closed-form solution." @default.
• W2910038468 created "2019-01-25" @default.
• W2910038468 creator A5015471781 @default.
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• W2910038468 date "2019-03-01" @default.
• W2910038468 modified "2023-10-18" @default.
• W2910038468 title "Time-consistent investment-proportional reinsurance strategy with random coefficients for mean–variance insurers" @default.
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• W2910038468 doi "https://doi.org/10.1016/j.insmatheco.2019.01.002" @default.
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