保险公司和再保险公司的最优投资策略

发布时间：2018-05-12 02:04

  本文选题：比例再保险 + 效用最大化　； 参考：《系统工程学报》2017年02期

【摘要】：假设保险公司和再保险公司面临的赔付过程是带漂移的布朗运动.保险公司可以向再保险公司购买比例再保险,两公司均可以投资于一种无风险资产和一种价格服从几何布朗运动模型的风险资产,并以到期财富的期望效用最大化为目标.根据随机控制理论建立相应的HJB方程并求解,分别得到了保险公司与再保险公司的最优投资和再保险策略的解析解,并分析了同时满足双方利益的再保险策略.最后通过数值实例分析了各模型参数对最优策略的影响.
[Abstract]:Suppose insurance companies and reinsurance companies are faced with a Brown movement with drift. Insurance companies can buy proportional reinsurance from reinsurance companies, and two companies can invest in a riskless asset and a risk asset that is subject to geometric Brown's motion model, and maximizes the expected utility of the maturity wealth. The corresponding HJB equation is established and solved according to the stochastic control theory. The analytical solution of the optimal investment and reinsurance strategy of the insurance company and the reinsurance company is obtained, and the reinsurance strategy which meets the interests of both parties is analyzed. Finally, the influence of the model parameters on the optimal strategy is analyzed by a numerical example.

【作者单位】： 天津大学理学院;
【基金】：国家自然科学基金资助项目(11201335;11301376)
【分类号】：F842.3;O224
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本文编号：1876617