本文選題：比例再保險(xiǎn) + 效用最大化�。� 參考：《系統(tǒng)工程學(xué)報(bào)》2017年02期

【摘要】：假設(shè)保險(xiǎn)公司和再保險(xiǎn)公司面臨的賠付過程是帶漂移的布朗運(yùn)動(dòng).保險(xiǎn)公司可以向再保險(xiǎn)公司購(gòu)買比例再保險(xiǎn),兩公司均可以投資于一種無風(fēng)險(xiǎn)資產(chǎn)和一種價(jià)格服從幾何布朗運(yùn)動(dòng)模型的風(fēng)險(xiǎn)資產(chǎn),并以到期財(cái)富的期望效用最大化為目標(biāo).根據(jù)隨機(jī)控制理論建立相應(yīng)的HJB方程并求解,分別得到了保險(xiǎn)公司與再保險(xiǎn)公司的最優(yōu)投資和再保險(xiǎn)策略的解析解,并分析了同時(shí)滿足雙方利益的再保險(xiǎn)策略.最后通過數(shù)值實(shí)例分析了各模型參數(shù)對(duì)最優(yōu)策略的影響.
[Abstract]:Suppose insurance companies and reinsurance companies are faced with a Brown movement with drift. Insurance companies can buy proportional reinsurance from reinsurance companies, and two companies can invest in a riskless asset and a risk asset that is subject to geometric Brown's motion model, and maximizes the expected utility of the maturity wealth. The corresponding HJB equation is established and solved according to the stochastic control theory. The analytical solution of the optimal investment and reinsurance strategy of the insurance company and the reinsurance company is obtained, and the reinsurance strategy which meets the interests of both parties is analyzed. Finally, the influence of the model parameters on the optimal strategy is analyzed by a numerical example.

【作者單位】： 天津大學(xué)理學(xué)院;
【基金】：國(guó)家自然科學(xué)基金資助項(xiàng)目(11201335;11301376)
【分類號(hào)】：F842.3;O224
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本文編號(hào)：1876617