随机利率和随机波动率下保险和再保险公司的稳健最优投资策略（英文）  

Robust Optimal Investment Strategy of an Insurer and a Reinsurer with Stochastic Interest Rate and Stochastic Volatility

作　　者：龚晓琴 马世霞[1] 黄晴 李国柱 Gong Xiaoqin;Ma Shixia;Huang Qing;Li Guozhu(School of Science,Hebei University of Technology,Tianjin 300401,China)

机构地区：[1]河北工业大学理学院

出　　处：《南开大学学报（自然科学版）》2019年第6期60-70,共11页Acta Scientiarum Naturalium Universitatis Nankaiensis

基　　金：Supported by NSFC(11471218,11301133)

摘　　要：考虑了一家拥有保险公司和再保险公司股份的大型保险公司的稳健最优比例再保险和投资管理问题.保险公司和再保险公司都可以投资于具有随机利率和随机波动率的无风险资产和风险资产,其中利率由仿射模型描述.大型保险公司的经理通常具有模糊厌恶性,会担心模型的不确定性.通过采用动态规划方法,推导出最优稳健再保险-投资策略和最优值函数的显性表达式,并随后讨论了一个特例.最后,提供了一些数值例子来说明参数对模型的影响.A robust optimal proportional reinsurance and investment management problem is studied for a general insurance company which holds shares of an insurance company and a reinsurance company. Both the insurance company and reinsurance company are allowed to invest in a risk-free asset and a risky asset with stochastic interest rate and stochastic volatility, in which the interest rate is described by an affine model. Besides, the general insurance company’s manager is an ambiguity-averse manager who worries about model uncertainty. By employing the dynamic programming approach, the explicit formulae is derived for the optimal robust reinsurance-investment strategy and the optimal value function, and one special case is discussed subsequently. Finally, a part of numerical examples is presented to illustrate the effects of model parameters.

关 键 词：稳健再保险-投资策略 随机利率 随机波动率 具有模糊厌恶性的经理 

分 类 号：O211.9[理学—概率论与数理统计]