{"title":"On mean-variance optimal reinsurance-investment strategies in dynamic contagion claims models","authors":"Marina Santacroce, Barbara Trivellato","doi":"10.1007/s10203-024-00475-9","DOIUrl":null,"url":null,"abstract":"<p>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.</p>","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":1.4000,"publicationDate":"2024-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Decisions in Economics and Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1007/s10203-024-00475-9","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"SOCIAL SCIENCES, MATHEMATICAL METHODS","Score":null,"Total":0}
引用次数: 0
Abstract
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.
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.