Optimal mean-variance investment and reinsurance strategies with a general Lévy process risk model

Abstract

This paper is concerned with the optimal time-consistent investment and reinsurance strategies for mean-variance insurers with a general Lévy Process model. Expressly, the insurers are allowed to purchase proportional reinsurance and invest in a financial market, where the surplus of the insurers is assumed to follow a Cramér–Lundberg model and the financial market consists of one risk-free asset and one risky asset whose price process is driven by a general Lévy process. Through the verification theorem, the closed-form expressions of the optimal strategies under the mean-variance criterion are derived by a complex partial integral differential Hamilton–Jacobi–Bellman equations. Finally, numerical simulations are provided to verify the effectiveness of the proposed optimal strategies and some economic interpretations are drawn.