基于Mean-Variance-CVaR准则的保险公司最优资产配置与再保险策略  

Asset Allocation and Reinsurance Policy for a Mean-Variance-CVaR Insurer in Continuous-Time

作　　者：赵霞 时雨 ZHAO Xia;SHI Yu(School of Statistics and Information,Shanghai University of International Business and Economics,Shanghai,201620,China)

机构地区：[1]上海对外经贸大学统计与信息学院,上海201620

出　　处：《应用概率统计》2020年第5期536-550,共15页Chinese Journal of Applied Probability and Statistics

基　　金：partially supported by the National Natural Science Foundation of China (Grant Nos.71671104,11971301);the Project of Humanities Social Sciences of Research of the Ministry of Education,China (Grant No.16YJA910003)。

摘　　要：本文研究了连续时间下保险公司基于均值-方差-CVaR准则选择最优资产配置和再保险策略的问题.我们运用鞅方法求解优化问题并得到了相应的显示解.基于数值模拟,我们分析了在不同参数值下最优财富、资产配置和再保险策略随市场条件变化而变化的趋势.This paper studies the optimal asset allocation and reinsurance problem under meanvariance-CVaR criteria for an insurer in continuous-time.We obtain the closed-form solution of optimization problem by using martingale method.Numerical results show the trends of optimal wealth,investment and reinsurance strategies with various parameter values.

关 键 词：资产配置 再保险策略 Mean-Variance-CVaR准则 鞅方法 

分 类 号：O211.6[理学—概率论与数理统计]