经典风险模型下CEV股票市场中最优再保险和投资策略(英文)  

Optimal Reinsurance and Investment Policies in CEV Stock Market for Classical Risk Model

作　　者：李启才[1,2] 顾孟迪[2] 

机构地区：[1]南京师范大学数学科学学院,江苏南京210023 [2]上海交通大学安泰经济与管理学院,上海200052

出　　处：《应用数学》2015年第2期247-255,共9页Mathematica Applicata

基　　金：Supported by the Program of Natural Science Research of Jiangsu Higher Education Institutions of China(13KJD110006,2KJB110011);the National Natural Science Foundation of China(61304065)

摘　　要：本文在复合泊松跳索赔模型下,考虑保险公司投资于常弹性方差(CEV)金融市场和购买比例-超额损失组合再保险的最优策略.在期望效用最大化准则下,利用随机控制技巧,证明了,事实上,保险公司的最优再保险策略等同于要么购买一个纯超额损失再保险,要么购买一个纯比例再保险.进一步给出两种情形下的最优再保险和投资策略以及值函数的表达式.In this article, we study optimal investment in constant elasticity of variance （CEV） stock market and optimal combination of quota-share and excess-of-loss reinsurance problem to maximize the expected exponential utility from terminal wealth of the insurer. Using stochastic con- trol theory and power transformation method, we obtain explicit expressions of the optimal policies and value functions for a classical risk model. We conclude that it is either optimal to only buy ex- cess-of-loss reinsurance （when total expected claims N is big enough）, or optimal to only buy quota- share reinsurance （when N is relatively small）

关 键 词：随机控制 比例再保险 超额损失 CEV模型 指数效用 

分 类 号：O211.63[理学—概率论与数理统计] O232[理学—数学]