發(fā)布時(shí)間：2021-05-01 00:46

　　長(zhǎng)期以來(lái),風(fēng)險(xiǎn)控制與風(fēng)險(xiǎn)管理一直是保險(xiǎn)公司和金融機(jī)構(gòu)的一個(gè)重要課題.一方面,由于允許保險(xiǎn)公司和金融機(jī)構(gòu)在金融市場(chǎng)中進(jìn)行投資,最優(yōu)投資問(wèn)題受到保險(xiǎn)公司和金融機(jī)構(gòu)的極大關(guān)注.另一方面,保險(xiǎn)公司在開(kāi)展再保險(xiǎn)業(yè)務(wù)時(shí),以減少潛在的利潤(rùn)為代價(jià),將它的部分風(fēng)險(xiǎn)轉(zhuǎn)移給另一方.再保業(yè)務(wù)過(guò)多會(huì)顯著地降低利潤(rùn),而再保業(yè)務(wù)過(guò)少即承擔(dān)的風(fēng)險(xiǎn)過(guò)高則會(huì)導(dǎo)致償付不足甚至引發(fā)破產(chǎn).因此,如何選擇合理的最優(yōu)投資和再保險(xiǎn)策略,在最大限度地提高收益的同時(shí)盡可能地降低風(fēng)險(xiǎn),在金融和精算界得到了廣泛的關(guān)注.相比于期望效用最大化準(zhǔn)則,均值-方差準(zhǔn)則能夠使保險(xiǎn)人或投資者在其可接受的收益下盡可能地降低風(fēng)險(xiǎn)（由收益的方差量化）.注意到,均值-方差準(zhǔn)則不僅考慮了收益,同時(shí)還考慮了風(fēng)險(xiǎn).由于其合理性以及實(shí)用性,均值-方差準(zhǔn)則已成為金融理論中一種比較流行的風(fēng)險(xiǎn)度量工具,并得到了廣泛的推廣和應(yīng)用.值得注意的是,由于缺乏期望迭代性（方差不滿足可分性）,均值-方差準(zhǔn)則不再滿足Bellman最優(yōu)性原理,這導(dǎo)致了動(dòng)態(tài)不一致性的問(wèn)題.對(duì)于隨機(jī)最優(yōu)控制問(wèn)題中的動(dòng)態(tài)不一致性問(wèn)題,目前有兩種方法處理:一是尋找最優(yōu)的“預(yù)先承諾策略”;另一種方法是利用博弈論的理論... 

【文章來(lái)源】：南京師范大學(xué)江蘇省 211工程院校

【文章頁(yè)數(shù)】：202 頁(yè)

【學(xué)位級(jí)別】：博士

【文章目錄】：
Abstract
摘要
Notation
Chapter 1 Introduction
    1.1 Background
    1.2 Literature review
        1.2.1 Research based on different risk models
        1.2.2 Research based on different criteria
    1.3 Main contents and contribution
        1.3.1 Main contents and research methods
        1.3.2 Main contribution
Chapter 2 Preliminaries
    2.1 Basic definitions and theorems
        2.1.1 Poisson random measure
        2.1.2 Ito formula
        2.1.3 Markov chain
    2.2 Mean-variance criterion
        2.2.1 Classical mean-variance criterion
        2.2.2 Mean-variance utility
Chapter 3 Optimal portfolio strategy with constraint on wealth underpartial information
    3.1 Introduction
    3.2 The model and the problem
    3.3 The solution to the optimization problem
        3.3.1 Some results in full information case
        3.3.2 Optimal strategy under partial information
    3.4 No shorting constraint
    3.5 Conclusion
Chapter 4 Time-consistent portfolio selection in a Markovian regime-switchingmarket with common shock
    4.1 Introduction
    4.2 Model and problem formulation
        4.2.1 Common shock model and assumption
        4.2.2 Problem formulation
    4.3 The solution to the optimization problem
    4.4 Numerical analysis
    4.5 Some results for n≥3
    4.6 Conclusion
Chapter 5 Time-consistent reinsurance strategies for an insurer underthinning dependence
    5.1 Introduction
    5.2 The thinning dependence model of reinsurance
    5.3 Problem formulation and the HJB equation
    5.4 Time-consistent reinsurance strategies
        5.4.1 The case of n＝2
        5.4.2 The case of n≥3
    5.5 Numerical analysis
    5.6 Conclusion
Chapter 6 Optimal time-consistent reinsurance and investment strategyin a regime-switching economy with delayed system and common shock
    6.1 Introduction
    6.2 Common shock model of reinsurance and investment
    6.3 Problem formulation and the HJB eqution
    6.4 Time-consistent reinsurance and investment strategy
    6.5 Numerical analysis
    6.6 Conclusion
Chapter 7 Time-consistent reinsurance and investment strategies with on-ly risky assets
    7.1 Introduction
    7.2 Model and problem formulation
    7.3 The solution to the optimization problem
    7.4 Optimal results in some special cases
        7.4.1 The case without jump
        7.4.2 The case with a risk-free asset
    7.5 Numerical analysis
    7.6 Conclusion
Chapter 8 Conclusions and Prospects
    8.1 Conclusions
    8.2 Prospects
Bibliography
Publications or Finished Papers
Acknowledgements



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