英文标题：
《Optimality of Excess-Loss Reinsurance under a Mean-Variance Criterion》
---
作者：
Danping Li, Dongchen Li, Virginia R. Young
---
最新提交年份：
2017
---
英文摘要：
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.
---
中文摘要：
本文研究了均值-方差准则下保险人的再保险投资问题。我们证明了在谱负L{e}vy保险模型下，当根据期望值保费原则计算再保险保费时，超额损失是唯一的均衡再保险策略。此外，通过求解扩展的Hamilton-Jacobi-Bellman方程，我们得到了显式均衡再保险投资策略。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
--

---
PDF下载：
-->