| Issue |
ESAIM: COCV
Volume 30, 2024
|
|
|---|---|---|
| Article Number | 51 | |
| Number of page(s) | 23 | |
| DOI | https://doi.org/10.1051/cocv/2024040 | |
| Published online | 02 July 2024 | |
Mean Reflected BSDE Driven by a Marked Point Process and Application in Insurance Risk Management
School of Mathematical Sciences, Shanghai Jiao Tong University, PR China
* Corresponding author: 1949101x_k@sjtu.edu.cn
Received:
15
October
2023
Accepted:
29
April
2024
This paper aims to solve a super-hedging problem along with insurance re-payment under running risk management constraints. The initial endowment for the super-hedging problem is characterized by a class of mean reflected backward stochastic differential equation driven by a marked point process (MPP) and a Brownian motion. By Lipschitz assumptions on the generators and proper integrability on the terminal value, we give the well-posedness of this kind of BSDEs by combining a representation theorem with the fixed point argument.
Mathematics Subject Classification: 60G55 / 60H10 / 91G20
Key words: BSDEs with mean reflection / marked point process / super-hedging with insurance re-payment
© The authors. Published by EDP Sciences, SMAI 2024
This is an Open Access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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