Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model. Issue 2 (2nd July 2020)

• Record Type: Journal Article
• Authors: Zhang, Liming; Wang, Rongming; Wei, Jiaqin
• Is Part Of: Statistical theory and related fields. Volume 4:Issue 2(2020)
• Page Start: 214
• Page End: 227
• Publication Date: 2020-07-02
• Subjects: Markov chain -- mean-variance problem -- non-negative constraints -- BSDE -- regime-switching; Statistics -- Periodicals; Statistics; Periodicals; Electronic journals; 001.422
• DOI: 10.1080/24754269.2020.1719356
• Languages: English
• ISSNs: 2475-4269

Abstract

Abstract : This paper is devoted to study the proportional reinsurance/new business and investment problem under the mean-variance criterion in a continuous-time setting. The strategies are constrained in the non-negative cone and all coefficients in the model except the interest rate are stochastic processes adapted the filtration generated by a Markov chain. With the help of a backward stochastic differential equation driven by the Markov chain, we obtain the optimal strategy and optimal cost explicitly under this non-Markovian regime-switching model. The cases with one risky asset and Markov regime-switching model are considered as special cases.