模糊厌恶下安全区域内的最优投资再保险策略  

Optimal investment and reinsurance strategies in safe-region under ambiguity aversion

作　　者：温玉珍[1] 赵玉莹 WEN Yuzhen;ZHAO Yuying(School of Statistics and Data Science,Qufu Normal University,273165,Qufu,Shandong,PRC)

机构地区：[1]曲阜师范大学统计与数据科学学院,山东省曲阜市273165

出　　处：《曲阜师范大学学报（自然科学版）》2023年第1期24-31,共8页Journal of Qufu Normal University(Natural Science)

基　　金：山东省自然科学基金(ZR2020MA035).

摘　　要：文章考虑了模糊厌恶型保险公司的鲁棒最优投资再保险策略问题.假设保险公司以安全区域内达到给定水平κ(≥u s)的期望时间最小化为目标,保险公司可以投资和购买比例再保险,通过动态规划方法,根据随机控制原理建立相应的HJBI方程,得到最优鲁棒投资再保险策略和相应的值函数的解析解.最后分析了模糊厌恶参数对最优策略和值函数的影响.In this paper,we consider the optimal investment and reinsurance control problem for insurer with ambiguity aversion.It is the optimization problem of minimizing the expected time to reach a given goal ofκ>u s in safe-region.We assume that the insurer can buy proportional reinsurance and can invest risk asset.According to the dynamic programming principle,we derive the corresponding Hamilton-Jacobi-Bellman equation and obtain the optimal strategy and value function explicitly.Finally,we illustrate the effects of ambiguity aversion parameters on optimal strategy and value function by numerical analysis.

关 键 词：再保险 投资策略 期望时 

分 类 号：O211.6[理学—概率论与数理统计]