Optimal mean–variance investment/reinsurance with common shock in a regime-switching market

Volume: 90, Issue: 1, Pages: 109 - 135
Published: Jan 16, 2019
Abstract
In this paper, we consider the problem of optimal investment-reinsurance with two dependent classes of insurance risks in a regime-switching financial market. In our model, the two claim-number processes are correlated through a common shock component, and the market mode is classified into a finite number of regimes. We also assume that the insurer can purchase proportional reinsurance and invest its surplus in a financial market, and that the...
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Paper Details
Title
Optimal mean–variance investment/reinsurance with common shock in a regime-switching market
Published Date
Jan 16, 2019
Volume
90
Issue
1
Pages
109 - 135
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