Robust optimal strategies for an insurer under generalized mean-variance premium principle with defaultable bond

2020 ◽  
pp. 1-34
Author(s):  
Yingchun Deng ◽  
Man Li ◽  
Ya Huang ◽  
Jieming Zhou
Keyword(s):  
Optimal Strategies ◽  
Defaultable Bond ◽  
Generalized Mean ◽  
Mean Variance

scholarly journals A Bank Credit Model with Capital-Constrained Newsvendor Under Two Ordering Opportunities

2016 ◽  
Vol 4 (5) ◽  
pp. 408-418 ◽  
Author(s):  
Deli Zhao ◽  
Baofeng Zhang ◽  
Zongshui Wang
Keyword(s):  
Interest Rate ◽  
Capital Market ◽  
Optimal Strategies ◽  
Mathematic Model ◽  
Bank Credit ◽  
Order Quantity ◽  
Financing System ◽  
Primary Order ◽  
Mean Variance ◽  
Variance Criterion

AbstractThis paper proposes a financing system consisting of a bank under Mean-Variance criterion and a capital-constrained retailer, where the bank offers an unlimited credit to the retailer. The demand is assumed to be stochastic. The newsvendor is allowed to make an emergency order with a minimum reorder quantity threshold (RQT). It shows that under RQT, the newsvendor has different reorder strategies. The optimal primary order quantity and interest rate are derived, sequentially. Extension under perfectly competitive capital market is given. The mathematic model reveals that RQT and reorder price have significant effect on the optimal strategies.

scholarly journals High-frequency trading with fractional Brownian motion

2020 ◽  
Author(s):  
Paolo Guasoni ◽  
Yuliya Mishura ◽  
Miklós Rásonyi
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
High Frequency ◽  
Asset Price ◽  
Optimal Strategies ◽  
Trading Costs ◽  
Frequency Limit ◽  
Dynamic Optimisation ◽  
High Frequency Limit ◽  
Mean Variance

Abstract In the high-frequency limit, conditionally expected increments of fractional Brownian motion converge to a white noise, shedding their dependence on the path history and the forecasting horizon and making dynamic optimisation problems tractable. We find an explicit formula for locally mean–variance optimal strategies and their performance for an asset price that follows fractional Brownian motion. Without trading costs, risk-adjusted profits are linear in the trading horizon and rise asymmetrically as the Hurst exponent departs from Brownian motion, remaining finite as the exponent reaches zero while diverging as it approaches one. Trading costs penalise numerous portfolio updates from short-lived signals, leading to a finite trading frequency, which can be chosen so that the effect of trading costs is arbitrarily small, depending on the required speed of convergence to the high-frequency limit.

Precautionary Saving and Insurance Under Generalized Mean-Variance Preferences

2017 ◽  
Author(s):  
Nicole Branger ◽  
Antje Brigitte Mahayni ◽  
Nikolaus Schweizer
Keyword(s):  
Precautionary Saving ◽  
Generalized Mean ◽  
Mean Variance

scholarly journals Solution of Hamilton-Jacobi-Bellman Equation in Optimal Reinsurance Strategy under Dynamic VaR Constraint

2019 ◽  
Vol 2019 ◽  
pp. 1-7 ◽  
Author(s):  
Yuzhen Wen ◽  
Chuancun Yin
Keyword(s):  
Bellman Equation ◽  
Closed Form Expression ◽  
Proportional Reinsurance ◽  
Form Expression ◽  
Optimal Reinsurance ◽  
Surplus Process ◽  
Hamilton Jacobi Bellman Equation ◽  
Generalized Mean ◽  
Hamilton Jacobi Bellman ◽  
Mean Variance

This paper analyzes the optimal reinsurance strategy for insurers with a generalized mean-variance premium principle. The surplus process of the insurer is described by the diffusion model which is an approximation of the classical Cramér-Lunderberg model. We assume the dynamic VaR constraints for proportional reinsurance. We obtain the closed form expression of the optimal reinsurance strategy and corresponding survival probability under proportional reinsurance.

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