Key points are not available for this paper at this time.
This paper studies the time-inconsistent optimal reinsurance-investment problem with the joint interests of an insurer and a reinsurer under the jump-diffusion and Heston models. We aim to find the optimal strategy to maximize the sum of weighted wealth of the insurer and reinsurer under the mean-variance framework. By applying dynamic programming and differential game theories, we give the Hamilton-Jacobi-Bellman (HJB) equation and verification theorem. Then, the closed-form solutions of optimal strategies and the value functions are obtained. Moreover, the sensitivity analysis is carried out.
Chen et al. (Thu,) studied this question.
Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context: