Equilibrium reinsurance-investment strategy with a common shock under two kinds of premium principles

This paper investigates the optimal mean-variance reinsurance-investment problem for an insurer with a common shock dependence under two kinds of popular premium principles: the variance premium principle and the expected value premium principle. We formulate the optimization problem within a game theoretic framework and derive the closed-form expressions of the equilibrium reinsurance-investment strategy and equilibrium value function under the two different premium principles by solving the extended Hamilton-Jacobi-Bellman system of equations. We find that under the variance premium principle, the proportional reinsurance is the optimal reinsurance strategy for the optimal reinsurance-investment problem with a common shock, while under the expected value premium principle, the excess-of-loss reinsurance is the optimal reinsurance strategy. In addition, we illustrate the equilibrium reinsurance-investment strategy by numerical examples and discuss the impacts of model parameters on the equilibrium strategy.

Decision on land development conditions for a photovoltaic system – a genuine investment problem?

The possibility of basing an investment on a decision on land development conditions has many legal and economic advantages. The decision confirms a specific condition related to the possibility of land development, enables the implementation of subsequent stages of the investment process, and finally, the implementation of the investment. Currently, only special regulations, e.g. in water law, protection of monuments, and protection of agricultural and forest land, constitute a legal barrier to the location of photovoltaic investments. Other restrictions are technical limitations, for example, the possibility of connecting to the power grid. The photovoltaic investments market in Poland is constantly growing.