ZHAO Xia, SHI Yu. Asset Allocation and Reinsurance Policy for a Mean-Variance-CVaR Insurer in Continuous-Time[J]. Chinese Journal of Applied Probability and Statistics, 2020, 36(5): 536-550. DOI: 10.3969/j.issn.1001-4268.2020.05.008
Citation: ZHAO Xia, SHI Yu. Asset Allocation and Reinsurance Policy for a Mean-Variance-CVaR Insurer in Continuous-Time[J]. Chinese Journal of Applied Probability and Statistics, 2020, 36(5): 536-550. DOI: 10.3969/j.issn.1001-4268.2020.05.008
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Asset Allocation and Reinsurance Policy for a Mean-Variance-CVaR Insurer in Continuous-Time

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  • 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.
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