随机成本下再保险公司的最优投资及再保险策略  

Optimal Investment and Optimal Reinsurance Strategies for a Reinsurance Company With Stochastic Cost

作　　者：甘少波[1] 王伟[1] 

机构地区：[1]宁波大学理学院,浙江宁波315211

出　　处：《统计与决策》2017年第2期152-155,共4页Statistics & Decision

基　　金：教育部人文社科青年基金资助项目(12YJC910009);浙江省自然科学基金资助项目(LY17G01003);宁波市自然科学基金资助项目(2016A610076;2016A610077)

摘　　要：文章从再保险公司的角度研究最优投资及再保险策略问题。假定金融市场中风险资产的价格和再保险公司的成本支出服从几何布朗运动,通过采取随机动态规划方法,给出了相应的HJB方程和验证定理,并得到了最优投资策略和最优再保险策略。In this paper, we study the problem of optimal investment and optimal reinsurance strategies with stochastic cost from a reinsurance company＂ s aspect. Suppose that the dynamics of a risky asset and the cost of a reinsurance company follow geo- metric Brownian motions. By applying stochastic dynamic programming approach, the HJB equation and a verification theorem are provided, and we also obtain the optimal investment and optimal reinsurance strategies. Finally, some numerical examples are provided to analyze the effects of the model parameters on the optimal investment and optimal reinsurance strategies.

关 键 词：再保险 HJB方程 指数效用函数 

分 类 号：F840[经济管理—保险]