تقرير
Constrained monotone mean--variance investment-reinsurance under the Cram\'er--Lundberg model with random coefficients
| العنوان: | Constrained monotone mean--variance investment-reinsurance under the Cram\'er--Lundberg model with random coefficients |
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| المؤلفون: | Shi, Xiaomin, Xu, Zuo Quan |
| سنة النشر: | 2024 |
| المجموعة: | Mathematics Quantitative Finance |
| مصطلحات موضوعية: | Quantitative Finance - Portfolio Management, Mathematics - Optimization and Control, Quantitative Finance - Mathematical Finance, 91B16. 93E20. 60H30. 91G10 |
| الوصف: | This paper studies an optimal investment-reinsurance problem for an insurer (she) under the Cram\'er--Lundberg model with monotone mean--variance (MMV) criterion. At any time, the insurer can purchase reinsurance (or acquire new business) and invest in a security market consisting of a risk-free asset and multiple risky assets whose excess return rate and volatility rate are allowed to be random. The trading strategy is subject to a general convex cone constraint, encompassing no-shorting constraint as a special case. The optimal investment-reinsurance strategy and optimal value for the MMV problem are deduced by solving certain backward stochastic differential equations with jumps. In the literature, it is known that models with MMV criterion and mean--variance criterion lead to the same optimal strategy and optimal value when the wealth process is continuous. Our result shows that the conclusion remains true even if the wealth process has compensated Poisson jumps and the market coefficients are random. Comment: arXiv admin note: text overlap with arXiv:2212.14188 |
| نوع الوثيقة: | Working Paper |
| DOI: | 10.1016/j.sysconle.2024.105796 |
| URL الوصول: | http://arxiv.org/abs/2405.17841 |
| رقم الأكسشن: | edsarx.2405.17841 |
| قاعدة البيانات: | arXiv |
| DOI: | 10.1016/j.sysconle.2024.105796 |
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