摘要
研究了均值-方差标准下保险公司面临的投资与再保险最优策略问题,其盈余过程受控于一个跳-扩散模型,目的是寻找相应的时间相容性策略。假定金融市场由一个无风险资产和多个服从几何Levy过程的风险资产组成,通过求解广义HJB方程,得到了最优时间相容性投资和再保险策略的解析表达式以及最优值函数。
An optimal investment and reinsurance problem for insurers under mean-variance criterion was investigated, whose surplus process is described by a more general jump-diffusion process and aims to seek the corresponding time-consistent strategy. The financial market consists of one risk-free asset and multiple risky assets whose price processes follow geometric Levy processes. The closed-form expressions for the time-consistent investment and reinsurance strate-gies and the optimal value function were derived by solving an extended Hamilton-Jacobi-Bellman equation.
出处
《山东大学学报（理学版）》
CAS
CSCD
北大核心
2014年第5期36-40,共5页
Journal of Shandong University(Natural Science)
基金
国家自然科学基金资助项目(71071111)
教育部人文社会科学研究基金一般项目(11YJC910007)
天津科技大学科学研究基金项目(20120110)
关键词
时间相容性策略
投资与再保险
均值-方差标准
多种风险资产
广义HJB方程
time-consistent strategy
investment and reinsurance
mean-variance criterion
multiple risky assets
ex-tended Hamilton-Jacobi-Bellman equation
