保险公司的最优投资和再保险策略  

Optimal Investment and Reinsurance Policies for Insurance Company

作　　者：刘洁[1] 赵秀兰[1] 

机构地区：[1]黄河科技学院数理部,河南郑州450063

出　　处：《模糊系统与数学》2013年第3期160-168,共9页Fuzzy Systems and Mathematics

基　　金：河南省教育厅科学技术研究重点项目(12B110017)

摘　　要：在保险公司既可以做证券(股票和债券)投资,同时又采取比例再保险策略的情况下,通过对经典的Cramér-Lundberg保险公司盈余过程模型的连续扩散近似,利用动态规划原理分别得出了在破产概率最小和终值期望效用最大两种目标函数下,保险公司的最优投资和最优再保策略的显式解和对应的目标函数值。对两种目标函数下的最优策略做了比较研究。In this paper, we assume the insurance company can invest in the money market and in a risky asset （stock）, the classic Cramer-Lunderberg model of the insurance company suplus is approximated by a contious diffusion model, through the theory of the dymatic programme in the two objiective functions that the expected exponential utility of terminal wealth is maximized and the ruin probility is minimized. We obtain the closed form expression of the optimal investment and reinsurance policies for a insurance company separately, and also the value of the corresponding objictive functions is given. The compare of the two optimal policy under the two restrictions was studied.

关 键 词：HJB方程 投资策略 破产概率 再保策略 

分 类 号：F830[经济管理—金融学]