CEV模型下最大化HARA效用的最优再保险与投资策略  

Optimal Reinsurance and Investment Strategies to Maximize HARA Utility under CEV model

作　　者：聂高琴[1] NIE Gao-qin(School of Statistics,Capital University of Economics and Business,Beijing 100070,China)

机构地区：[1]首都经济贸易大学统计学院

出　　处：《数学的实践与认识》2019年第23期249-255,共7页Mathematics in Practice and Theory

基　　金：首都经济贸易大学校级科研项目(2017XJQ005);北京市教委科研计划项目(SM201810038008);北京市自然科学基金项目(1182007)

摘　　要：在风险资产价格服从CEV模型时,考虑保险公司为最大化双曲绝对风险厌恶(HARA)效用的最优投资与再保险问题.假定保险公司的索赔过程为带漂移的布朗运动,且保险公司通过购买比例再保险来转移索赔风险,运用随机控制理论和Legendre变换方法得到了最优策略的显示表达式.This paper considers the optimal investment-reinsurance strategy of the insurance company based on Hyperbolic Absolute Risk Aversion(HARA) utility,where the risk asset process is supposed to be driven by the CEV model.In this paper,the claim process of insurance company is modeled by Brownian motion with drift,and the insurance company is assumed to transfer risk by buying proportional reinsurance,the explicit expression of the optimal strategy is obtained by using stochastic control theory and transformation method.

关 键 词：CEV模型 HARA效用 再保险 LEGENDRE变换 

分 类 号：D92[政治法律—法学]