本文選題：通貨膨脹　切入點：均值-方差準則　出處：《中山大學(xué)學(xué)報(自然科學(xué)版)》2017年04期 　論文類型：期刊論文

【摘要】：在通貨膨脹影響下,研究了一類理賠相依風(fēng)險模型的,時間一致的最優(yōu)策略選擇問題。兩種理賠的相依性通過一個共同的泊松過程來體現(xiàn)。為了減小風(fēng)險,保險人可以進行再保險;為了增加財富,保險人可以在金融市場上進行投資。進行投資時,考慮了通貨膨脹的影響,通貨膨脹的影響是通過通貨膨脹率對風(fēng)險資產(chǎn)折算實現(xiàn)的。研究的目標是:保險人選擇時間一致的最優(yōu)再保險-投資策略,最大化終止時刻財富的均值,同時最小化終止時刻財富的方差。因為該問題是時間不一致的,從博弈論的視角對問題進行了求解。應(yīng)用HamiltonJacobi-Bellman動態(tài)規(guī)劃的方法,得到了時間一致的最優(yōu)再保險-投資策略和相應(yīng)值函數(shù)的顯式解。最后通過數(shù)值計算,解釋了一些保險市場模型參數(shù)對最優(yōu)再保險策略影響,以及金融市場模型參數(shù)和通貨膨脹模型參數(shù)對最優(yōu)投資策略的影響。通過研究,可以指導(dǎo)投資者在通貨膨脹的影響下進行合理投資,使自身財富最大而風(fēng)險最小。
[Abstract]:Under the influence of inflation, the time-consistent optimal strategy selection problem for a class of claim dependent risk models is studied. The dependence of two claims is represented by a common Poisson process. The insurer can reinsurance; in order to increase wealth, the insurer can invest in the financial market. The effect of inflation is realized through the conversion of risk assets by inflation rate. The objective of the study is to maximize the average value of wealth at the end of the period by choosing the optimal reinsurance-investment strategy with the same time. Because the problem is time-inconsistent, the problem is solved from the perspective of game theory. The method of HamiltonJacobi-Bellman dynamic programming is used to solve the problem. The explicit solution of the optimal reinsurance strategy and the corresponding value function is obtained. Finally, the influence of some insurance market model parameters on the optimal reinsurance strategy is explained by numerical calculation. The influence of the parameters of financial market model and inflation model on the optimal investment strategy. Through the research, we can guide the investors to invest reasonably under the influence of inflation, making their own wealth the biggest and the risk least.
【作者單位】： 西京學(xué)院理學(xué)院;第四軍醫(yī)大學(xué)唐都醫(yī)院心血管內(nèi)科;
【基金】：西京學(xué)院院科研基金(XJ160144) 陜西省教育廳科研計劃項目(15JK2183)
【分類號】：F224;F840.4
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本文編號：1651630