This paper studies the optimal asset allocation and reinsurance problem under mean-variance-CVaR criteria for an insurer in continuous-time. We obtain the closed-form solution of optimization problem by using martingale method. Numerical results show the trends of optimal wealth, investment and reinsurance strategies with various parameter values.
The project was partially supported by the National Natural Science Foundation of China (Grant Nos. 71671104; 11971301) and the Project of Humanities Social Sciences of Research of the Ministry of Education, China (Grant No. 16YJA910003).