Mean-variance investment and reinsurance optimization with stochastic interest rate and volatility
研究了保险公司在随机利率和波动率下的连续时间投资与再保险问题，利用倒向随机微分方程和线性二次控制理论，得到了闭式有效策略和有效前沿，并通过实证和数值分析验证了模型。
This paper studies a continuous-time investment and reinsurance problem for an insurer. The financial market consists of one money market asset, one stock, and two zero-coupon bonds. Interest rates follow a generalized Cox-Ingersoll-Ross model, and the stock price is given by the Heston stochastic volatility model, with the stochastic interest rate and volatility processes being correlated. The insurer purchases proportional reinsurance to mitigate its risk and invests the surplus in the financial market, with the purpose to optimize mean-variance preferences in the precommitment sense. By the theory of backward stochastic differential equations and linear-quadratic control, the insurer's efficient strategy and efficient frontier are both obtained in closed form. An empirical analysis using market data validates the proposed financial model, and a numerical study offers valuable insights into the impact of model inputs on the insurer's efficient frontier.