Work

On mean-variance optimal reinsurance-investment strategies in dynamic contagion claims models

Year: 2024

Type: article

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.

Source: Decisions in Economics and Finance

DOI: 10.1007/s10203-024-00475-9

Authors: Marina Santacroce, Barbara Trivellato

Institutions: Università Cattolica del Sacro Cuore, Politecnico di Torino

Language: English

Topic: Probability and Risk Models

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,090

Funders: Ministero dell’Istruzione, dell’Università e della Ricerca, Università Cattolica del Sacro Cuore