Dynamic Mean-Variance Problem with Constrained Risk Control for the Insurers
In this paper, we study optimal reinsurance/new business and investment (noshorting) strategy for the mean-variance problem in two risk models: a classical risk model and a diffusion model. The problem is firstly reduced to a stochastic linear-quadratic (LQ)control problem with constraints. Then, the efficient frontiers and efficient strategies are derived explicitly by a verification theorem with the viscosity solutions of Hamilton-Jacobi-Bellman (HJB) equations, which is different from that given in Zhou, Yong and Li (1997).Furthermore, by comparisons, we find that they are identical under the two risk models.
Mean-variance Efficient frontier Efficient strategy Hamilton-Jacobi-Bellman equation Riccati equation Viscosity solution Lagrange multiplier
Lihua Bai Huayue Zhang
School of Mathematical Sciences, Nankai University, Tianjin 300071, P. R. China Department of Finance, School of Economics, Nankai University, Tianjin 300071, P. R. China
国际会议
北京
英文
141-162
2008-08-10（万方平台首次上网日期，不代表论文的发表时间）