Optimal investment-reinsurance strategy on dynamic mean-variance problem with stochastic volatility
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, whe...
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2021
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sg-ntu-dr.10356-1461212023-02-28T23:18:51Z Optimal investment-reinsurance strategy on dynamic mean-variance problem with stochastic volatility Sun, Jingya PUN Chi Seng School of Physical and Mathematical Sciences cspun@ntu.edu.sg Science::Mathematics::Applied mathematics::Operational research Business::Finance::Portfolio management 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. Bachelor of Science in Mathematical Sciences 2021-01-27T02:10:26Z 2021-01-27T02:10:26Z 2018 Final Year Project (FYP) https://hdl.handle.net/10356/146121 en application/pdf Nanyang Technological University |
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Science::Mathematics::Applied mathematics::Operational research Business::Finance::Portfolio management Sun, Jingya Optimal investment-reinsurance strategy on dynamic mean-variance problem with stochastic volatility |
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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. |
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PUN Chi Seng |
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PUN Chi Seng Sun, Jingya |
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Final Year Project |
author |
Sun, Jingya |
author_sort |
Sun, Jingya |
title |
Optimal investment-reinsurance strategy on dynamic mean-variance problem with stochastic volatility |
title_short |
Optimal investment-reinsurance strategy on dynamic mean-variance problem with stochastic volatility |
title_full |
Optimal investment-reinsurance strategy on dynamic mean-variance problem with stochastic volatility |
title_fullStr |
Optimal investment-reinsurance strategy on dynamic mean-variance problem with stochastic volatility |
title_full_unstemmed |
Optimal investment-reinsurance strategy on dynamic mean-variance problem with stochastic volatility |
title_sort |
optimal investment-reinsurance strategy on dynamic mean-variance problem with stochastic volatility |
publisher |
Nanyang Technological University |
publishDate |
2021 |
url |
https://hdl.handle.net/10356/146121 |
_version_ |
1759857908046102528 |