均值-方差准则下再保险双方联合收益的最优投资再保险策略
Optimal Investment Reinsurance Strategy for the Joint Benefits of the Insurer and the Reinsurer under the Mean-Variance
DOI: 10.12677/PM.2021.1111208, PDF, HTML, 下载: 394  浏览: 542  国家自然科学基金支持
作者: 孙婷婷, 王慧慧, 舒慧生*：东华大学理学院，上海
关键词: 期望保费原理；再保险；均值-方差准则；联合收益；HJB方程；Expected Premium Principle； Reinsurance； Mean-Variance Criterion； Joint Benifits； HJB Equation
摘要: 在两类保险业务相关的风险模型背景下，研究了保险公司和再保险公司的联合收益的最优投资再保险问题。假设保险公司可以向再保险公司购买比例再保险和投资于一个由无风险资产和风险资产组成的金融市场，再保险公司采用期望保费原理收取保费并可以通过投资无风险资产来降低风险。 在均值-方差准则下，通过求解扩展的Hamilton-Jacobi-Bellman方程组，得到了联合收益的最优投资策略和最优再保险策略的表达式以及最优值函数，并通过实例验证了结果的有效性。
Abstract: Under the background of the risk model related to two types of insurance business, the optimal investment reinsurance of the joint benefits of the insurer and the reinsurer is studied. Assuming that the insurer can buy proportional reinsurance from the reinsurer and invest in a financial market consisting of risk-free and risk assets, the reinsurer can use the expected premium principle to charge premiums and reduce risk by investing in risk-free assets. Under the mean-variance criterion, the expressions of the optimal investment strategy and the optimal reinsurance strategy and the optimal value function of the combined returns are obtained by solving the extended Hamilton- Jacobi-Bellman equation system, and the validity of the result is verified by example.
文章引用：孙婷婷, 王慧慧, 舒慧生. 均值-方差准则下再保险双方联合收益的最优投资再保险策略[J]. 理论数学, 2021, 11(11): 1850-1870. https://doi.org/10.12677/PM.2021.1111208

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