基于模糊厌恶的最优投资与超额损失再保险策略
Optimal Investment and Excess-Loss Reinsurance Strategies Based on Ambiguity Aversion
DOI: 10.12677/AAM.2021.107236, PDF,    国家自然科学基金支持
作者: 谢 奕, 王 伟：天津师范大学数学科学学院，天津
关键词: 模糊厌恶；超额损失再保险；随机控制；最优再保险；最优投资；Ambiguity Aversion； Excess-Loss Reinsurance； Stochastic Control； Optimal Reinsurance； Optimal Investment
摘要: 本文研究了保险公司对金融市场存在模糊厌恶情况下的最优投资与超额损失再保险策略。在最大化保险公司终端财富的目标下，采用指数效用函数，通过随机控制方法得到了最优投资与再保险策略以及值函数的表达式。最后通过数值算例分析了参数对最优投资与再保险策略的影响。
Abstract: This paper studies the optimal investment and excess-loss reinsurance strategies for insurance companies with ambiguity aversion to financial market. Under the goal of maximizing the terminal wealth of insurance companies, the optimal investment and reinsurance strategies and the expression of value function are obtained by using stochastic control methods with exponential utility function. Finally, numerical examples are given to analyze the influence of some parameters on the optimal investment and reinsurance strategies.
文章引用：谢奕, 王伟. 基于模糊厌恶的最优投资与超额损失再保险策略[J]. 应用数学进展, 2021, 10(7): 2268-2277. https://doi.org/10.12677/AAM.2021.107236

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