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Optimality of Excess-Loss Reinsurance under a Mean-Variance Criterion (1703.01984v2)
Published 6 Mar 2017 in q-fin.RM
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.