Equilibrium reinsurance-investment strategies with partial information and common shock dependence
In this paper, we study an optimal reinsurance-investment problem with partial information and common shock dependence under the mean-variance criterion for an insurer. The insurer has two dependent classes of insurance business, which are subject to a common shock. We consider the optimal reinsuran...
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| Veröffentlicht in: | Annals of operations research 2021-12, Vol.307 (1-2), p.1-24 |
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| creator | Bi, Junna Cai, Jun Zeng, Yan |
| description | In this paper, we study an optimal reinsurance-investment problem with partial information and common shock dependence under the mean-variance criterion for an insurer. The insurer has two dependent classes of insurance business, which are subject to a common shock. We consider the optimal reinsurance-investment problem under complete information and partial information, respectively. We formulate the complete information problem within a game theoretic framework and seek the equilibrium reinsurance-investment strategy and equilibrium value function by solving an extended Hamilton–Jacobi–Bellman system of equations. For the partial information problem, we first transform it to a completely observable model by virtue of the filtering theory, then derive the equilibrium strategy and equilibrium value function by using the methods similar to those for the complete information problem. In addition, we illustrate the equilibrium reinsurance-investment strategies by numerical examples and discuss the impacts of model parameters on the equilibrium reinsurance-investment strategies for both the complete information and partial information cases. |
| doi_str_mv | 10.1007/s10479-021-04317-4 |
| format | Article |
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The insurer has two dependent classes of insurance business, which are subject to a common shock. We consider the optimal reinsurance-investment problem under complete information and partial information, respectively. We formulate the complete information problem within a game theoretic framework and seek the equilibrium reinsurance-investment strategy and equilibrium value function by solving an extended Hamilton–Jacobi–Bellman system of equations. For the partial information problem, we first transform it to a completely observable model by virtue of the filtering theory, then derive the equilibrium strategy and equilibrium value function by using the methods similar to those for the complete information problem. 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Cai, Jun ; Zeng, Yan</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c423t-8ae3d17357022f809b82955e1f6ad21f45e3447bae5a394fe5d4b6081a1dc02e3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2021</creationdate><topic>Analysis</topic><topic>Business and Management</topic><topic>Combinatorics</topic><topic>Equilibrium</topic><topic>Equilibrium (Economics)</topic><topic>Investment policy</topic><topic>Investment strategy</topic><topic>Investments</topic><topic>Mathematical optimization</topic><topic>Operations research</topic><topic>Operations Research/Decision Theory</topic><topic>Original Research</topic><topic>Reinsurance</topic><topic>Theory of Computation</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Bi, Junna</creatorcontrib><creatorcontrib>Cai, Jun</creatorcontrib><creatorcontrib>Zeng, Yan</creatorcontrib><collection>CrossRef</collection><collection>Gale Business: Insights</collection><collection>ProQuest Central (Corporate)</collection><collection>Materials Business File</collection><collection>Mechanical & Transportation Engineering Abstracts</collection><collection>ABI/INFORM Collection</collection><collection>ABI/INFORM Global (PDF only)</collection><collection>ProQuest Central (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection</collection><collection>Science Database (Alumni Edition)</collection><collection>Computing Database (Alumni Edition)</collection><collection>ProQuest Pharma Collection</collection><collection>Technology Research Database</collection><collection>ProQuest SciTech Collection</collection><collection>ProQuest Technology Collection</collection><collection>ProQuest Central (Alumni) (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection (Alumni Edition)</collection><collection>Materials Science & Engineering Collection</collection><collection>ProQuest Central (Alumni)</collection><collection>ProQuest Central</collection><collection>Advanced Technologies & Aerospace Database (1962 - current)</collection><collection>ProQuest Central Essentials</collection><collection>ProQuest Central</collection><collection>ProQuest Business Premium Collection</collection><collection>Technology Collection</collection><collection>ProQuest One Community College</collection><collection>ProQuest Central</collection><collection>Engineering Research Database</collection><collection>Business Premium Collection (Alumni)</collection><collection>ABI/INFORM Global (Corporate)</collection><collection>ProQuest Central Student</collection><collection>SciTech Premium Collection</collection><collection>Materials Research Database</collection><collection>ProQuest Computer Science Collection</collection><collection>ProQuest Business Collection (Alumni Edition)</collection><collection>ProQuest Business Collection</collection><collection>Computer Science Database</collection><collection>Civil Engineering Abstracts</collection><collection>ABI/INFORM Professional Advanced</collection><collection>ProQuest Engineering Collection</collection><collection>ABI/INFORM Global</collection><collection>Computing Database</collection><collection>Science Database (ProQuest)</collection><collection>Engineering Database</collection><collection>ProQuest advanced technologies & aerospace journals</collection><collection>ProQuest Advanced Technologies & Aerospace Collection</collection><collection>ProQuest One Business</collection><collection>ProQuest One Business (Alumni)</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>Engineering collection</collection><collection>ProQuest Central Basic</collection><jtitle>Annals of operations research</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Bi, Junna</au><au>Cai, Jun</au><au>Zeng, Yan</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Equilibrium reinsurance-investment strategies with partial information and common shock dependence</atitle><jtitle>Annals of operations research</jtitle><stitle>Ann Oper Res</stitle><date>2021-12-01</date><risdate>2021</risdate><volume>307</volume><issue>1-2</issue><spage>1</spage><epage>24</epage><pages>1-24</pages><issn>0254-5330</issn><eissn>1572-9338</eissn><abstract>In this paper, we study an optimal reinsurance-investment problem with partial information and common shock dependence under the mean-variance criterion for an insurer. The insurer has two dependent classes of insurance business, which are subject to a common shock. We consider the optimal reinsurance-investment problem under complete information and partial information, respectively. We formulate the complete information problem within a game theoretic framework and seek the equilibrium reinsurance-investment strategy and equilibrium value function by solving an extended Hamilton–Jacobi–Bellman system of equations. For the partial information problem, we first transform it to a completely observable model by virtue of the filtering theory, then derive the equilibrium strategy and equilibrium value function by using the methods similar to those for the complete information problem. In addition, we illustrate the equilibrium reinsurance-investment strategies by numerical examples and discuss the impacts of model parameters on the equilibrium reinsurance-investment strategies for both the complete information and partial information cases.</abstract><cop>New York</cop><pub>Springer US</pub><doi>10.1007/s10479-021-04317-4</doi><tpages>24</tpages><orcidid>https://orcid.org/0000-0003-1491-8050</orcidid></addata></record> |
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| subjects | Analysis Business and Management Combinatorics Equilibrium Equilibrium (Economics) Investment policy Investment strategy Investments Mathematical optimization Operations research Operations Research/Decision Theory Original Research Reinsurance Theory of Computation |
| title | Equilibrium reinsurance-investment strategies with partial information and common shock dependence |
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