OPTIMAL MEAN-VARIANCE REINSURANCE IN A FINANCIAL MARKET WITH STOCHASTIC RATE OF RETURN

In this paper, we investigate the optimal investment and reinsurance strategies for a mean-variance insurer when the surplus process is represented by a Cramer-Lundberg model. It is assumed that the instantaneous rate of investment return is stochastic and follows an Ornstein-Uhlenbeck (OU) process, which could describe the features of bull and bear markets. To solve the mean-variance optimization problem, we adopt a backward stochastic differential equation (BSDE) approach and derive explicit expressions for both the efficient strategy and efficient frontier. Finally, numerical examples are presented to illustrate our results.