Mean-Variance Investment and Per-Loss Reinsurance Strategies in Contagion Financial Markets

This paper investigates the optimal investment and reinsurance problem for insurers in a financial market with contagion risk. The prices of risky assets are assumed to follow a jump–diffusion model, where the jump component is driven by a multidimensional dynamic contagion process with diffusion (D...

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Bibliografski detalji

Glavni autori:	Xiuxian Chen, Zhongyang Sun
Format:	Artigo
Jezik:	Inglês
Izdano:	MDPI AG 2026-03-01
Serija:	Axioms
Teme:	mean-variance problem dynamic contagion process with diffusion per-loss reinsurance equilibrium strategies extended Hamilton–Jacobi–Bellman equations
Online pristup:	https://www.mdpi.com/2075-1680/15/3/206
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