Mean reflected BSDE driven by a marked point process and application in insurance risk management

Zihao Gu; Yiqing Lin; Kun Xu

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arXiv · 2310.15203

Mean reflected BSDE driven by a marked point process and application in insurance risk management

Zihao Gu·Yiqing Lin·Kun Xu

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Abstract

This paper aims to solve a super-hedging problem along with insurance re-payment under running risk management constraints. The initial endowment for the super-heding problem is characterized by a class of mean reflected backward stochastic differential equation driven by a marked point process (MPP) and a Brownian motion. By Lipschitz assumptions on the generators and proper integrability on the terminal value, we give the well-posedness of this kind of BSDEs by combining a representation theorem with the fixed point argument.

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Zihao Gu, Yiqing Lin, Kun Xu. 2023-10-23. Mean reflected BSDE driven by a marked point process and application in insurance risk management. https://arxiv.org/abs/2310.15203

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