172
Views
0
CrossRef citations to date
0
Altmetric
Research Articles

Optimal investment and reinsurance policies for the Cramér–Lundberg risk model under monotone mean-variance preference

, &
Pages 1296-1310 | Received 05 Aug 2022, Accepted 07 Apr 2023, Published online: 03 May 2023

References

  • Aubin, J. P (2013). Optima and equilibria: An introduction to nonlinear analysis. Springer Science & Business Media.
  • Bai, L., & Guo, J. (2008). Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint. Insurance: Mathematics and Economics, 42(3), 968–975. https://doi.org/10.1016/j.insmatheco.2007.11.002
  • Bäuerle, N. (2005). Benchmark and mean-variance problems for insurers. Mathematical Methods of Operations Research, 62(1), 159–165. https://doi.org/10.1007/s00186-005-0446-1
  • Bensoussan, A., Ma, G., Siu, C. C., & Yam, S. C. P. (2022). Dynamic mean-variance problem with frictions. Finance and Stochastics, 26(2), 267–300. https://doi.org/10.1007/s00780-022-00474-x
  • Bi, J., Meng, Q., & Zhang, Y. (2014). Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer. Annals of Operations Research, 212(1), 43–59. https://doi.org/10.1007/s10479-013-1338-z
  • Bielecki, T. R., Jin, H., Pliska, S. R., & Zhou, X. Y. (2005). Continuous-time mean-variance portfolio selection with bankruptcy prohibition. Mathematical Finance: An International Journal of Mathematics, Statistics and Financial Economics, 15(2), 213–244. https://doi.org/10.1111/mafi.2005.15.issue-2
  • Chen, L., Landriault, D., Li, B., & Li, D. (2021). Optimal dynamic risk sharing under the time-consistent mean-variance criterion. Mathematical Finance: An International Journal of Mathematics, Statistics and Financial Economics, 31(2), 649–682. https://doi.org/10.1111/mafi.v31.2
  • Chen, P., & Yam, S. (2013). Optimal proportional reinsurance and investment with regime-switching for mean–variance insurers. Insurance: Mathematics and Economics, 53(3), 871–883. https://doi.org/10.1016/j.insmatheco.2013.10.004
  • Elliott, R. J., & Siu, T. K. (2009). Portfolio risk minimization and differential games. Nonlinear Analysis: Theory Methods & Applications, 71(12), e2127–e2135. https://doi.org/10.1016/j.na.2009.03.085
  • Hansen, L. P., Sargent, T. J., Turmuhambetova, G., & Williams, N. (2006). Robust control and model misspecification. Journal of Economic Theory, 128(1), 45–90. https://doi.org/10.1016/j.jet.2004.12.006
  • Kabanov, J. M., Lipcer, R. Š., & Širjaev, A. (1979). Absolute continuity and singularity of locally absolutely continuous probability distributions. I. Mathematics of the USSR-Sbornik, 35(5), 631–680. https://doi.org/10.1070/SM1979v035n05ABEH001615
  • Karatzas, I., & Shreve, S (2012). Brownian motion and stochastic calculus. Springer Science & Business Media.
  • Landriault, D., Li, B., Li, D., & Young, V. R. (2018). Equilibrium strategies for the mean-variance investment problem over a random horizon. SIAM Journal on Financial Mathematics, 9(3), 1046–1073. https://doi.org/10.1137/17M1153479
  • Li, B., & Guo, J. (2021). Optimal reinsurance and investment strategies for an insurer under monotone mean-variance criterion. RAIRO-Operations Research, 55(4), 2469–2489. https://doi.org/10.1051/ro/2021114
  • Li, D., & Ng, W. L. (2000). Optimal dynamic portfolio selection: Multiperiod mean-variance formulation. Mathematical Finance: An International Journal of Mathematics, Statistics and Financial Economics, 10(3), 387–406. https://doi.org/10.1111/mafi.2000.10.issue-3
  • Li, X., Zhou, X. Y., & Lim, A. E. (2002). Dynamic mean-variance portfolio selection with no-shorting constraints. SIAM Journal on Control and Optimization, 40(5), 1540–1555. https://doi.org/10.1137/S0363012900378504
  • Liese, F., & Vajda, I (1987). Convex statistical distances. Teubner.
  • Liptser, R., & Shiryayev, A. N (2012). Theory of martingales. Springer Science & Business Media.
  • Maccheroni, F., Marinacci, M., Rustichini, A., & Taboga, M. (2009). Portfolio selection with monotone mean-variance preferences. Mathematical Finance: An International Journal of Mathematics, Statistics and Financial Economics, 19(3), 487–521. https://doi.org/10.1111/mafi.2009.19.issue-3
  • Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77–91. https://doi.org/10.1111/j.1540-6261.1952.tb01525.x
  • Mataramvura, S., & Øksendal, B. (2008). Risk minimizing portfolios and HJBI equations for stochastic differential games. Stochastics – an International Journal of Probability and Stochastic Processes, 80(4), 317–337. https://doi.org/10.1080/17442500701655408
  • Mei, H., & Zhu, C. (2020). Closed-loop equilibrium for time-inconsistent McKean–Vlasov controlled problem. SIAM Journal on Control and Optimization, 58(6), 3842–3867. https://doi.org/10.1137/20M1319796
  • Ni, Y. H., Li, X., Zhang, J. F., & Krstic, M. (2019). Equilibrium solutions of multiperiod mean-variance portfolio selection. IEEE Transactions on Automatic Control, 65(4), 1716–1723. https://doi.org/10.1109/TAC.9
  • Shen, Y., & Zeng, Y. (2014). Optimal investment–reinsurance with delay for mean-variance insurers: A maximum principle approach. Insurance: Mathematics and Economics, 57, 1–12. https://doi.org/10.1016/j.insmatheco.2014.04.004
  • Shen, Y., Zhang, X., & Siu, T. K. (2014). Mean-variance portfolio selection under a constant elasticity of variance model. Operations Research Letters, 42(5), 337–342. https://doi.org/10.1016/j.orl.2014.05.008
  • Strub, M. S., & Li, D. (2020). A note on monotone mean-variance preferences for continuous processes. Operations Research Letters, 48(4), 397–400. https://doi.org/10.1016/j.orl.2020.05.003
  • Sun, Z., & Guo, J. (2018). Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility. Mathematical Methods of Operations Research, 88(1), 59–79. https://doi.org/10.1007/s00186-017-0628-7
  • Trybula, J., & Zawisza, D. (2014). Continuous time portfolio choice under monotone preferences with quadratic penalty – stochastic interest rate case. arXiv: 1404.5408.
  • Trybuła, J., & Zawisza, D. (2019). Continuous-time portfolio choice under monotone mean-variance preferences-stochastic factor case. Mathematics of Operations Research, 44(3), 966–987. https://doi.org/10.1287/moor.2018.0952
  • Yeung, D. W., & Petrosjan, L. A (2006). Cooperative stochastic differential games. Springer Science & Business Media.
  • Zhou, X. Y., & Li, D. (2000). Continuous-time mean-variance portfolio selection: A stochastic LQ framework. Applied Mathematics and Optimization, 42(1), 19–33. https://doi.org/10.1007/s002450010003

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.