Optimality of Excess-Loss Reinsurance under a Mean-Variance Criterion

Danping Li; Dongchen Li; Virginia R. Young

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arXiv · 1703.01984

Optimality of Excess-Loss Reinsurance under a Mean-Variance Criterion

Danping Li·Dongchen Li·Virginia R. Young

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Abstract

In this paper, we study an insurer's reinsurance-investment problem under a mean-variance criterion. We show that excess-loss is the unique equilibrium reinsurance strategy under a spectrally negative L\'{e}vy insurance model when the reinsurance premium is computed according to the expected value premium principle. Furthermore, we obtain the explicit equilibrium reinsurance-investment strategy by solving the extended Hamilton-Jacobi-Bellman equation.

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Danping Li, Dongchen Li, Virginia R. Young. 2017-03-06. Optimality of Excess-Loss Reinsurance under a Mean-Variance Criterion. https://arxiv.org/abs/1703.01984

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