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dc.contributor.authorBi, Junna
dc.contributor.authorCai, Jun 18:50:20 (GMT) 18:50:20 (GMT)
dc.descriptionThe final publication is available at Elsevier via © 2018. This manuscript version is made available under the CC-BY-NC-ND 4.0 license
dc.description.abstractIn this paper, we investigate the optimal time-consistent investment–reinsurance strategies for an insurer with state dependent risk aversion and Value-at-Risk (VaR) constraints. The insurer can purchase proportional reinsurance to reduce its insurance risks and invest its wealth in a financial market consisting of one risk-free asset and one risky asset, whose price process follows a geometric Brownian motion. The surplus process of the insurer is approximated by a Brownian motion with drift. The two Brownian motions in the insurer’s surplus process and the risky asset’s price process are correlated, which describe the correlation or dependence between the insurance market and the financial market. We introduce the VaR control levels for the insurer to control its loss in investment–reinsurance strategies, which also represent the requirement of regulators on the insurer’s investment behavior. Under the mean–variance criterion, we formulate the optimal investment–reinsurance problem within a game theoretic framework. By using the technique of stochastic control theory and solving the corresponding extended Hamilton–Jacobi–Bellman (HJB) system of equations, we derive the closed-form expressions of the optimal investment–reinsurance strategies. In addition, we illustrate the optimal investment–reinsurance strategies by numerical examples and discuss the impact of the risk aversion, the correlation between the insurance market and the financial market, and the VaR control levels on the optimal strategies.en
dc.description.sponsorshipNatural Science Foundation of China [11571189, 11871219, 11871220]en
dc.description.sponsorship111 Project [B14019]
dc.description.sponsorshipNatural Sciences and Engineering Research Council [RGPIN-2016-03975]
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.subjectoptimization techniquesen
dc.subjectVaR constrainten
dc.subjectequilibrium investment-reinsurance strategyen
dc.subjectstochastic controlen
dc.subjectextended HJB system of equationsen
dc.subjectmean-variance criterionen
dc.titleOptimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated marketsen
dcterms.bibliographicCitationJ. Bi and J. Cai, Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets. Insurance: Mathematics and Economics (2018),
uws.contributor.affiliation1Faculty of Mathematicsen
uws.contributor.affiliation2Statistics and Actuarial Scienceen

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