模糊环境下具有索赔相依的最优再保险与投资策略
Optimal Reinsurance and Investment Strategies with Dependent Claims under Ambiguous Environment
张雨浓 1马丽君 1马世霞 1董文泽 1崔雅茹 1孔于榕1
作者信息
- 1. 河北工业大学理学院,天津 300401
- 折叠
摘要
研究了在模糊环境下保险公司的最优再保险和投资策略问题.假设保险公司有两类保险业务,其中第一类保险业务具有索赔相依性,即历史索赔会对未来索赔产生影响.保险人允许购买比例再保险,且其盈余可投资于无风险资产,价格过程由CEV模型描述的风险资产,违约债券和一个模糊资产组成的金融市场.保险公司的目标是最大化平滑模糊效应,应用随机控制方法和动态规划原理推导出违约前和违约后的再保险和投资策略.最后,通过数值分析说明了模型参数对最优策略的影响.
Abstract
The optimal reinsurance and investment strategies for an insurance company under an ambiguous environment are investigated.Assuming an insurance company has two types of insurance business,among which the first type of insurance business has claim dependence,that is,historical claims will have an impact on future claims.The insurer is allowed to purchase proportional reinsurance and invest its surplus in a financial market composed of risk-free assets,risky assets described by the Constant Elasticity of Variance model,defaulted bonds,and a fuzzy asset.The objective of the insurance company is to maximize the smoothing of the ambiguous effect,by employing stochastic control methods and the principles of dynamic programming.The reinsurance and investment strategies before and after default are derived.Finally,numerical analysis is conducted to illustrate the impact of model parameters on the optimal strategies.
关键词
模糊环境/索赔相依/平滑模糊效应/再保险和投资策略Key words
ambiguous environment/claim dependency/smoothing ambiguous effect/reinsurance and in-vestment strategies引用本文复制引用
出版年
2024
NETL
NSTL
万方数据