基于Heston模型下考虑再保险公司利益的最优再保险-投资策略  

Optimal Reinsurance-investment Strategy Considering the Interests of Reinsurers Based on the Heston Model

作　　者：李松林 夏登峰[1] 吴雨莲 LI Song-lin;XIA Deng-feng;WU Yu-lian(School of Mathematics and Finance,Anhui Polytechnic University,Wuhu Anhui 241000)

机构地区：[1]安徽工程大学数理与金融学院,安徽芜湖241000

出　　处：《巢湖学院学报》2023年第3期27-36,共10页Journal of Chaohu University

基　　金：国家自然科学基金项目(项目编号:71873002)。

摘　　要：研究了在考虑债券违约的金融市场环境中,风险资产价格服从Heston模型下,以保险公司和再保险公司共同利益最大化为目标的保险公司和再保险公司的最优再保险-投资策略。针对CARA效用函数分别在违约前和违约后建立相应的HJB方程,最后分析相关参数对于两家公司的最优再保险-投资决策的影响,结果表明,Heston模型中的相关参数对于保险公司和再保险公司在风险资产和可违约债券的投资都有一定的影响。This paper studies the optimal reinsurance-investment strategy of insurance companies and reinsurance companies aiming at maximizing the common interests of insurance companies and reinsurance companies under the Heston model in which the price of risky assets obeys the Heston model in the financial market environment considering bond defaults.According to the CARA utility function,the corresponding HJB equations are established for the pre-default case and post-default case,and finally the relevant parameters are analyzed for the optimal reinsurance-investment of the two companies.The results show that the relevant parameters in the Heston model have a certain impact on the investment of insurance companies and reinsurance companies in risk assets and defaultable bonds.

关 键 词：Heston模型 可违约债券 HJB方程 最优控制 

分 类 号：O211.63[理学—概率论与数理统计] F224.3[理学—数学]