Optimal dynamic reinsurance with common shock dependence and state-dependent risk aversion

This paper studies an optimal dynamic proportional reinsurance in a risk model with two dependent classes of insurance business. Under the criterion of maximizing the mean–variance utility of the terminal wealth with state-dependent risk aversion, we formulate the time-inconsistent problem within a game theoretic framework. By the technique of stochastic control theory, explicit expressions of the optimal results are derived not only for...