摘要
文章考虑了模糊厌恶型保险公司的鲁棒最优投资再保险策略问题.假设保险公司以安全区域内达到给定水平κ(≥u s)的期望时间最小化为目标,保险公司可以投资和购买比例再保险,通过动态规划方法,根据随机控制原理建立相应的HJBI方程,得到最优鲁棒投资再保险策略和相应的值函数的解析解.最后分析了模糊厌恶参数对最优策略和值函数的影响.
In this paper,we consider the optimal investment and reinsurance control problem for insurer with ambiguity aversion.It is the optimization problem of minimizing the expected time to reach a given goal ofκ>u s in safe-region.We assume that the insurer can buy proportional reinsurance and can invest risk asset.According to the dynamic programming principle,we derive the corresponding Hamilton-Jacobi-Bellman equation and obtain the optimal strategy and value function explicitly.Finally,we illustrate the effects of ambiguity aversion parameters on optimal strategy and value function by numerical analysis.
作者
温玉珍
赵玉莹
WEN Yuzhen;ZHAO Yuying(School of Statistics and Data Science,Qufu Normal University,273165,Qufu,Shandong,PRC)
出处
《曲阜师范大学学报（自然科学版）》
CAS
2023年第1期24-31,共8页
Journal of Qufu Normal University(Natural Science)
基金
山东省自然科学基金(ZR2020MA035).
关键词
再保险
投资策略
期望时
reinsurance
investment strategy
expected time
