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• W3125224616 abstract "This paper considers an optimal investment and reinsurance problem involving a defaultable security for an insurer under the mean-variance criterion in a jump-diffusion risk model. The insurer can purchase proportional reinsurance or acquire new insurance business and invest in a financial market consisting of a risk-free asset, a stock and a defaultable bond. In particular, the correlation between the insurance risk model and the financial market is also considered. From a game theoretic perspective, the extended Hamilton–Jacobi–Bellman systems of equations are established for the post-default case and the pre-default case, respectively. In both cases, closed-form expressions for the optimal time-consistent investment-reinsurance strategies and the corresponding value functions are derived. Moreover, some properties of optimal strategies, value functions and efficient frontiers are discussed either analytically or numerically." @default.
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• W3125224616 date "2016-05-01" @default.
• W3125224616 modified "2023-10-18" @default.
• W3125224616 title "Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security" @default.
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• W3125224616 doi "https://doi.org/10.1016/j.jmaa.2016.01.035" @default.
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