Original scientific paper

Time-consistent investment-proportional reinsurance strategy under a jump-diffusion model

Calisto Guambe orcid.org/0000-0003-3863-0908 ; Department of Mathematics and Informatics, Eduardo Mondlane University, Maputo, Mozambique

Abstract

In this paper, we formulate a mean-variance portfolio selection problem of an insurer who manages her underlying risk by purchasing proportional reinsurance and investing in a financial market consisting of a bank account and a risky asset following a jump-diffusion dynamics with random parameters. We then obtain a time-consistent equilibrium strategy via a flow of Backward Stochastic Differential Equations. Finally, we apply our results to a mean-reverting Levy-Ornstein-Uhlenbeck process and obtain closed form solutions.

Keywords

Mean-variance; jump-diffusion; Time consistent problem; BSDEs; Equilibrium strategy; Stochastic interest rate

Hrčak ID:

308965

URI

https://hrcak.srce.hr/308965

Publication date:

22.10.2023.

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