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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