Optimal investment-reinsurance strategy on dynamic mean-variance problem with stochastic volatility

• المؤلف الرئيسي: Sun, Jingya
• مؤلفون آخرون: PUN Chi Seng
• التنسيق: Final Year Project
• اللغة: English
• منشور في: Nanyang Technological University 2021
• الموضوعات: Science::Mathematics::Applied mathematics::Operational research; Business::Finance::Portfolio management
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/146121
• المؤسسة: Nanyang Technological University

In this final year project, we further study the dynamic mean-variance problem with constrained risk control on reinsurance and investment (no-shorting) strategy for insurers with unknown expected terminal wealth. This project will fi rst solve the problem under traditional Black-Scholes model, where the problem is first embedded into an auxiliary stochastic linear-quadratic (LQ) control problem. Then a viscosity solution of Hamilton-Jacobi-Bellman (HJB) equations is identifi ed so as to derive the e fficient frontier and e fficient strategies explicitly by a verfi cation theorem. An extension on solving the problem under the stochastic volatility model will be studied as well.