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

2017/03/06 by Danping Li, Li, Danping, Dongchen Li +3
Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #FOS: Economics and business #Insurance and Financial Risk Management #Insurance, Mortality, Demography, Risk Management #Probability and Risk Models #Risk Management (q-fin.RM)

paper · pdf · doi:10.48550/arxiv.1703.01984

openalex publication_date 2017/03/06 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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 Lévy 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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