Please use this identifier to cite or link to this item:
Title: Optimal investment-reinsurance strategy on dynamic mean-variance problem with stochastic volatility
Authors: Sun, Jingya
Keywords: Science::Mathematics::Applied mathematics::Operational research
Business::Finance::Portfolio management
Issue Date: 2018
Publisher: Nanyang Technological University
Abstract: 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.
Schools: School of Physical and Mathematical Sciences 
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:SPMS Student Reports (FYP/IA/PA/PI)

Files in This Item:
File Description SizeFormat 
  Restricted Access
472.02 kBAdobe PDFView/Open

Page view(s)

Updated on May 31, 2023


Updated on May 31, 2023

Google ScholarTM


Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.