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• W3119166489 abstract "We consider an optimal investment and risk control problem for an insurer under the mean-variance (MV) criterion. By introducing a deterministic auxiliary process defined forward in time, we formulate an alternative time-consistent problem related to the original MV problem, and obtain the optimal strategy and the value function to the new problem in closed-form. We compare our formulation and optimal strategy to those under the precommitment and game-theoretic framework. Numerical studies show that, when the financial market is negatively correlated with the risk process, optimal investment may involve short selling the risky asset and, if that happens, a less risk averse insurer short sells more risky asset." @default.
• W3119166489 created "2021-01-18" @default.
• W3119166489 creator A5015029242 @default.
• W3119166489 creator A5076774159 @default.
• W3119166489 date "2021-01-11" @default.
• W3119166489 modified "2023-10-11" @default.
• W3119166489 title "Mean-Variance Investment and Risk Control Strategies -- A Time-Consistent Approach via A Forward Auxiliary Process" @default.
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• W3119166489 doi "https://doi.org/10.48550/arxiv.2101.03954" @default.
• W3119166489 hasPublicationYear "2021" @default.
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