{"id":"https://openalex.org/W4403717668","doi":"https://doi.org/10.1051/ro/2024205","title":"Optimal reinsurance strategy with mean-variance premium principle and relative performance concern","display_name":"Optimal reinsurance strategy with mean-variance premium principle and relative performance concern","publication_year":2024,"publication_date":"2024-10-24","ids":{"openalex":"https://openalex.org/W4403717668","doi":"https://doi.org/10.1051/ro/2024205"},"language":"en","primary_location":{"id":"doi:10.1051/ro/2024205","is_oa":true,"landing_page_url":"https://doi.org/10.1051/ro/2024205","pdf_url":"https://www.rairo-ro.org/articles/ro/pdf/2024/06/ro230796.pdf","source":{"id":"https://openalex.org/S4393919633","display_name":"RAIRO. Operations research","issn_l":"2804-7303","issn":["2804-7303"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"RAIRO - Operations Research","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"diamond","oa_url":"https://www.rairo-ro.org/articles/ro/pdf/2024/06/ro230796.pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":null,"display_name":"Shumin Chen","orcid":"https://orcid.org/0009-0009-4811-5898"},"institutions":[{"id":"https://openalex.org/I139024713","display_name":"Guangdong University of Technology","ror":"https://ror.org/04azbjn80","country_code":"CN","type":"education","lineage":["https://openalex.org/I139024713"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Shumin Chen","raw_affiliation_strings":["School of Management, Guangdong University of Technology, Guangzhou 510006, P.R. China"],"raw_orcid":"https://orcid.org/0009-0009-4811-5898","affiliations":[{"raw_affiliation_string":"School of Management, Guangdong University of Technology, Guangzhou 510006, P.R. China","institution_ids":["https://openalex.org/I139024713"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5091153503","display_name":"Haixiang Yao","orcid":"https://orcid.org/0000-0001-6846-5611"},"institutions":[{"id":"https://openalex.org/I4210149618","display_name":"Guangdong University of Finance","ror":"https://ror.org/04grzdh47","country_code":"CN","type":"education","lineage":["https://openalex.org/I4210149618"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Haixiang Yao","raw_affiliation_strings":["School of Finance, Guangdong University of Foreign Studies, Guangzhou 510006, P.R. China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Finance, Guangdong University of Foreign Studies, Guangzhou 510006, P.R. China","institution_ids":["https://openalex.org/I4210149618"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.22299737,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"58","issue":"6","first_page":"5211","last_page":"5236"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T12394","display_name":"Insurance and Financial Risk Management","score":0.9860000014305115,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T12394","display_name":"Insurance and Financial Risk Management","score":0.9860000014305115,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9785000085830688,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.9660999774932861,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/reinsurance","display_name":"Reinsurance","score":0.9274290204048157},{"id":"https://openalex.org/keywords/variance","display_name":"Variance (accounting)","score":0.6666449308395386},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4781523644924164},{"id":"https://openalex.org/keywords/variance-risk-premium","display_name":"Variance risk premium","score":0.45567142963409424},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.439753919839859},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.43170374631881714},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.4122897982597351},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.4100942015647888},{"id":"https://openalex.org/keywords/accounting","display_name":"Accounting","score":0.0942302942276001},{"id":"https://openalex.org/keywords/volatility-risk-premium","display_name":"Volatility risk premium","score":0.08975207805633545}],"concepts":[{"id":"https://openalex.org/C166970017","wikidata":"https://www.wikidata.org/wiki/Q476118","display_name":"Reinsurance","level":2,"score":0.9274290204048157},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.6666449308395386},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4781523644924164},{"id":"https://openalex.org/C17483445","wikidata":"https://www.wikidata.org/wiki/Q7915765","display_name":"Variance risk premium","level":5,"score":0.45567142963409424},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.439753919839859},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.43170374631881714},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.4122897982597351},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.4100942015647888},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0942302942276001},{"id":"https://openalex.org/C44731940","wikidata":"https://www.wikidata.org/wiki/Q7940001","display_name":"Volatility risk premium","level":4,"score":0.08975207805633545},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.0},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1051/ro/2024205","is_oa":true,"landing_page_url":"https://doi.org/10.1051/ro/2024205","pdf_url":"https://www.rairo-ro.org/articles/ro/pdf/2024/06/ro230796.pdf","source":{"id":"https://openalex.org/S4393919633","display_name":"RAIRO. Operations research","issn_l":"2804-7303","issn":["2804-7303"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"RAIRO - Operations Research","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.1051/ro/2024205","is_oa":true,"landing_page_url":"https://doi.org/10.1051/ro/2024205","pdf_url":"https://www.rairo-ro.org/articles/ro/pdf/2024/06/ro230796.pdf","source":{"id":"https://openalex.org/S4393919633","display_name":"RAIRO. Operations research","issn_l":"2804-7303","issn":["2804-7303"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"RAIRO - Operations Research","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G2806204480","display_name":null,"funder_award_id":"71721001","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G6058322736","display_name":"\u517b\u8001\u98ce\u9669\u80cc\u666f\u4e0b\u7684\u6700\u4f18\u6295\u8d44\u3001\u6d88\u8d39\u548c\u5bff\u9669\u51b3\u7b56\u7814\u7a76: \u57fa\u4e8e\u751f\u547d\u5468\u671f\u5206\u6790\u89c6\u89d2","funder_award_id":"71871071","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G7535128516","display_name":null,"funder_award_id":"72171056","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G8034354643","display_name":null,"funder_award_id":"72432005","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"}],"has_content":{"grobid_xml":false,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4403717668.pdf"},"referenced_works_count":42,"referenced_works":["https://openalex.org/W1491976841","https://openalex.org/W1592112088","https://openalex.org/W1963798578","https://openalex.org/W1992058911","https://openalex.org/W1998091013","https://openalex.org/W2030862733","https://openalex.org/W2056534185","https://openalex.org/W2083310376","https://openalex.org/W2087520527","https://openalex.org/W2131387435","https://openalex.org/W2138765659","https://openalex.org/W2178320768","https://openalex.org/W2299522835","https://openalex.org/W2402179957","https://openalex.org/W2462425032","https://openalex.org/W2791073367","https://openalex.org/W2793149742","https://openalex.org/W2905016558","https://openalex.org/W2945229948","https://openalex.org/W2954858821","https://openalex.org/W2976139434","https://openalex.org/W3003714559","https://openalex.org/W3038175958","https://openalex.org/W3122956191","https://openalex.org/W3126897297","https://openalex.org/W3127765757","https://openalex.org/W3163632720","https://openalex.org/W3171210036","https://openalex.org/W3215790528","https://openalex.org/W4205105579","https://openalex.org/W4213199439","https://openalex.org/W4214749626","https://openalex.org/W4235413109","https://openalex.org/W4283261111","https://openalex.org/W4291012271","https://openalex.org/W4292266547","https://openalex.org/W4307676081","https://openalex.org/W4308381582","https://openalex.org/W4309761039","https://openalex.org/W4322767478","https://openalex.org/W4381487290","https://openalex.org/W4390562270"],"related_works":["https://openalex.org/W1531842946","https://openalex.org/W4303856931","https://openalex.org/W2782439843","https://openalex.org/W3133770542","https://openalex.org/W2022502002","https://openalex.org/W1771460106","https://openalex.org/W3025727643","https://openalex.org/W2907091365","https://openalex.org/W2593372122","https://openalex.org/W39543734"],"abstract_inverted_index":{"This":[0],"paper":[1],"investigates":[2],"the":[3,16,23,29,40,61,76,86,90,107,110,115,120,124,129,149,155],"optimal":[4,24,116,140,156],"reinsurance":[5,25,33,78,157],"strategies":[6],"for":[7,119,128],"n":[8],"insurers":[9,91],"who":[10],"compete":[11],"with":[12,39],"each":[13],"other":[14],"within":[15],"non-zero-sum":[17],"game":[18],"framework,":[19],"as":[20,22],"well":[21],"premium":[26,34,117,158],"loadings":[27,118],"under":[28],"Stackelberg":[30],"framework.":[31],"The":[32,43],"is":[35],"determined":[36],"in":[37,85],"accordance":[38],"mean-variance":[41],"principle.":[42],"insurers\u2019":[44],"objectives":[45],"are":[46],"to":[47,100,147],"maximize":[48],"their":[49],"utility":[50,94],"of":[51,69,132,151],"relative":[52],"wealth":[53],"over":[54],"a":[55,67],"finite":[56],"decision":[57],"horizon.":[58],"Firstly,":[59],"utilizing":[60],"dynamic":[62],"programming":[63],"technique,":[64],"we":[65,113,135,143],"derive":[66,114],"system":[68],"coupled":[70],"Hamilton\u2013Jacobi\u2013Bellman":[71],"(HJB)":[72],"equations":[73],"and":[74,96,137],"characterize":[75],"equilibrium":[77],"strategies.":[79],"We":[80,122],"also":[81],"obtain":[82,139],"explicit":[83],"solutions":[84],"special":[87,130],"case":[88,131],"where":[89],"possess":[92],"exponential":[93,133],"functions":[95],"present":[97],"numerical":[98,145],"examples":[99,146],"illustrate":[101,148],"our":[102],"theoretical":[103],"findings.":[104],"Secondly,":[105],"leveraging":[106],"outcomes":[108],"from":[109],"first":[111],"section,":[112],"reinsurer.":[121],"formulate":[123],"HJB":[125],"equation":[126],"and,":[127],"utility,":[134],"numerically":[136],"explicitly":[138],"decisions.":[141],"Furthermore,":[142],"provide":[144],"impact":[150],"model":[152],"parameters":[153],"on":[154],"loadings.":[159]},"counts_by_year":[],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}
