摘要
本文研究保险公司的再保险–投资问题.假定保险公司的整体风险由风险资本(Capital-at-Risk,CaR)来度量;盈余过程由扩散模型近似表示;在任意时刻保险公司可购买比例再保险(或获取新业务)和投资无风险资产与多种风险资产;风险资产的价格由几何布朗运动驱动.保险公司的目标是在整体风险CaR受约束的条件下最大化终端财富的期望值.对这一问题,建立了两个均值--CaR模型.利用分层优化方法和变分法,得到了模型的最优比例再保险–投资策略以及有效边界的解析表达式.
This paper investigates a reinsurance-investment problem for an insurer.Assume that the integral risk of the insurer is measured by Capital-at-Risk（CaR）,the surplus process is described by a diffusion approximation model;the insurer is allowed to purchase proportional reinsurance（or acquire new business） and to invest on a risk-free asset and multiple risky assets at any time;the prices of risky assets are driven by the model of geometric Brownian motions.The target of the insurer is to maximize the expectation of the terminal wealth under a CaR constraint.Two mean-CaR models are established for the problem.Explicit expressions of the optimal policies and efficient frontiers to the models are derived by using a hierarchical optimization method and the variational calculus approach.
出处
《控制理论与应用》
EI
CAS
CSCD
北大核心
2011年第4期467-471,共5页
Control Theory & Applications
基金
国家杰出青年科学基金资助项目(70825002)
关键词
风险资本约束
比例再保险策略
投资策略
保险公司
整体风险
Capital-at-Risk constraint
proportional reinsurance policy
investment policy
insurer
integral risk
