论动态传染索赔模型中的均值-方差最优再保险-投资策略

IF 1.4 Q3 SOCIAL SCIENCES, MATHEMATICAL METHODS

Decisions in Economics and Finance Pub Date : 2024-09-06 DOI:10.1007/s10203-024-00475-9

Marina Santacroce, Barbara Trivellato

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引用次数: 0

摘要

我们考虑了一个动态传染模型中平均方差标准下的再保险投资问题，该模型考虑了自身和外部激发的索赔集群效应。我们为广义比例合同找到了明确的时间一致性再保险投资策略，在这种合同中，只有超过一定水平的损失才会得到再保险。合同中更大的灵活性减轻了主承保人以牺牲盈利为代价过多分保可能带来的弊端，同时仍能确保与再保险对手分担更高的风险。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

On mean-variance optimal reinsurance-investment strategies in dynamic contagion claims models

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On mean-variance optimal reinsurance-investment strategies in dynamic contagion claims models

We consider the reinsurance-investment problem under the mean variance criterion in a dynamic contagion model that takes into account self and externally excited claim clustering effects. We find explicit time-consistent reinsurance-investment strategies for a generalized proportional contract in which only losses above a certain level are reinsured. This greater flexibility in the contract mitigates the possible drawback of the primary insurer ceding too much at the expense of profitability, while still ensuring that the higher risks are shared with the reinsurance counterparty.

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来源期刊

Decisions in Economics and Finance SOCIAL SCIENCES, MATHEMATICAL METHODS-

CiteScore

2.50

自引率

9.10%

发文量

期刊介绍： Decisions in Economics and Finance: A Journal of Applied Mathematics is the official publication of the Association for Mathematics Applied to Social and Economic Sciences (AMASES). It provides a specialised forum for the publication of research in all areas of mathematics as applied to economics, finance, insurance, management and social sciences. Primary emphasis is placed on original research concerning topics in mathematics or computational techniques which are explicitly motivated by or contribute to the analysis of economic or financial problems.