- Tytuł:
- Equilibrium reinsurance-investment strategy for mean-variance insurers under state dependent risk aversion
- Autorzy:
-
Alia, Ishak
Chighoub, Farid - Powiązania:
- https://bibliotekanauki.pl/articles/1839127.pdf
- Data publikacji:
- 2019
- Wydawca:
- Polska Akademia Nauk. Instytut Badań Systemowych PAN
- Tematy:
-
time inconsistency
mean-variance criterion
investment-reinsurance strategy
insurer
equilibrium strategy
forward-backward stochastic differential equation - Opis:
- In this work, we study the equilibrium reinsurance/ new business and investment strategy for mean-variance insurers, under the assumption that the risk aversion is a function of current wealth level. The surplus of the agents is represented by a sum of a compound process and a linear premium perturbed with a Brownian component. The financial market consists of one riskless asset and a multiple risky assets whose price processes are driven by Poisson random measures and independent Brownian motions. We characterize explicit expressions for the time-consistent Nash equilibrium strategy and the equilibrium value function via a forward-backward stochastic system and an equilibrium condition. An interesting feature of these FBSDEs is that a time parameter is involved, so that they form a flow of FBSDEs. Furthermore, a feedback representation of an equilibrium solution is derived. This solution provides a tool for comparing the equilibrium strategy with those derived in other papers, where some special cases were studied by the dynamic programming argument.
- Źródło:
-
Control and Cybernetics; 2019, 48, 4; 489-523
0324-8569 - Pojawia się w:
- Control and Cybernetics
- Dostawca treści:
- Biblioteka Nauki
Artykuł