时滞条件下带有平方根因子过程的最优投资-再保险  

Optimal Investment and Reinsurance with Delay and Square Root Factor Process

作　　者：陈玲[1] 陈密[1,2] CHEN Ling;CHEN Mi(School of Mathematics and Statistics,Fujian Normal University,Fuzhou 350117,China;Fujian Provincial Key Laboratory of Mathematical Analysis and Applications,Fuzhou 350117,China)

机构地区：[1]福建师范大学数学与统计学院,福建福州350117 [2]福建省分析数学及应用重点实验室,福建福州350117

出　　处：《兰州文理学院学报（自然科学版）》2022年第6期8-15,20,共9页Journal of Lanzhou University of Arts and Science(Natural Sciences)

基　　金：国家自然科学基金(11701087);福建省自然科学基金(2019J01673)。

摘　　要：基于保险人和再保险人双方视角,研究了具有时滞的最优投资-超额损失再保险问题.风险资产价格过程由平方根随机因子模型刻画,优化目标为最大化保险人和再保险人终端财富联合期望指数效用.通过解HJB方程,得到最优投资-再保险策略和最优值函数.最后,通过数值例子展示时滞参数对最优策略的影响.Based on the perspectives of an insurer and a reinsurer,this paper studies the optimal investment and excess-of-loss reinsurance with delay.The price process of risky assets is depicted by a square root factor model,and the optimization objective is to maximize the expected joint exponential utility of terminal wealth.By solving the HJB equation,the optimal investment-reinsurance strategy and the optimal function are obtained.Finally,a numerical example is given to illustrate the effect of delay parameters on the optimal strategy.

关 键 词：保险人和再保险人 最优投资-超额损失再保险 平方根随机因子模型 联合指数效用 时滞 

分 类 号：O211.6[理学—概率论与数理统计]