摘要
研究了外生负债影响下保险公司的最优再保险-投资策略,其中假设保险公司的目标是最大化终端财富的期望指数效用;盈余过程服从扩散模型;风险资产和负债均由几何布朗运动刻画。运用随机动态规划方法,得到了保险公司在(i)进行投资且允许购买比例再保险或获取新业务,(ii)进行投资但只允许购买比例再保险,不能获取新业务,两种情形下的最优再保险-投资策略以及最优值函数的解析式。最后,采用数值算例阐述了外生负债与市场参数对最优策略的影响。
The optimal reinsurance-investment strategy for an insurer with an exogenous liability is considered.Assume that the aim of the insurer is to maximize the expected exponential utility of the terminal wealth;the surplus process of the insurer follows a diffusion model while the risky assets＇ prices and the exogenous liability are governed by geometric Brownian motions.By employing the stochastic dynamic programming,the closed form of the optimal reinsurance-investment strategy and the optimal value function are derived under two cases：（i） the insurer can invest in a financial market and purchase proportional reinsurance or acquire new business,（ii） the insurer can invest in a financial market and purchase proportional reinsurance,but not acquire new business.Finally,a numerical example is given to show the impact of the exogenous liability and the market parameters on the optimal strategy.
出处
《中山大学学报（自然科学版）》
CAS
CSCD
北大核心
2012年第1期1-8,共8页
Acta Scientiarum Naturalium Universitatis Sunyatseni
基金
国家杰出青年科学基金资助项目(70825002)
国家973计划资助项目(2007CB814902)
2011年度中山大学人文社会科学青年教师桐山基金资助项目
中国博士后科学基金资助项目(2011M501351)
关键词
投资组合
再保险
资产负债管理
最大化效用
外生负债
portfolio
reinsurance
asset-liability management
utility maximization
exogenous liability
