An optimal quota-share and excess-of-loss reinsurance and investment problem is studied for an insurer who is allowed to invest in a risk-free asset and a risky asset.Especially the price process of the risky asset is...An optimal quota-share and excess-of-loss reinsurance and investment problem is studied for an insurer who is allowed to invest in a risk-free asset and a risky asset.Especially the price process of the risky asset is governed by Heston's stochastic volatility(SV)model.With the objective of maximizing the expected index utility of the terminal wealth of the insurance company,by using the classical tools of stochastic optimal control,the explicit expressions for optimal strategies and optimal value functions are derived.An interesting conclusion is found that it is better to buy one reinsurance than two under the assumption of this paper.Moreover,some numerical simulations and sensitivity analysis are provided.展开更多
Base on the full and accurate statistical informa tion, the status and existing technical problems of wind power in China are analyzed in terms of yearly installed capacity, single unit capacity, regional distribution...Base on the full and accurate statistical informa tion, the status and existing technical problems of wind power in China are analyzed in terms of yearly installed capacity, single unit capacity, regional distribution, investment as well as the market shares and the local ization of wind power units etc. The paper believes that wind power industry in China will grow by leaps and bounds in near future.展开更多
基金National Natural Science Foundation of China(No.62073071)Fundamental Research Funds for the Central Universities and Graduate Student Innovation Fund of Donghua University,China(No.CUSF-DH-D-2021045)。
文摘An optimal quota-share and excess-of-loss reinsurance and investment problem is studied for an insurer who is allowed to invest in a risk-free asset and a risky asset.Especially the price process of the risky asset is governed by Heston's stochastic volatility(SV)model.With the objective of maximizing the expected index utility of the terminal wealth of the insurance company,by using the classical tools of stochastic optimal control,the explicit expressions for optimal strategies and optimal value functions are derived.An interesting conclusion is found that it is better to buy one reinsurance than two under the assumption of this paper.Moreover,some numerical simulations and sensitivity analysis are provided.
文摘Base on the full and accurate statistical informa tion, the status and existing technical problems of wind power in China are analyzed in terms of yearly installed capacity, single unit capacity, regional distribution, investment as well as the market shares and the local ization of wind power units etc. The paper believes that wind power industry in China will grow by leaps and bounds in near future.
