均值-方差准则下马尔科夫调制的最优投资再保险策略  

Optimal Mean-Variance Investment Reinsurance Strategy under Markov Modulated Model

作　　者：王慧慧 孙婷婷 舒慧生[1] 

机构地区：[1]东华大学理学院,上海

出　　处：《理论数学》2021年第11期1897-1910,共14页Pure Mathematics

摘　　要：本文研究了马尔科夫调制下基于均值-方差准则的最优投资再保险策略问题。 容许保险公司购买比例再保险,同时投资一个无风险资产和两个相依的风险资产,风险资产的相依性由价格过程受到的共同冲击来刻画。 应用随机线性二次型控制理论求出最优投资再保险策略,并通过拉格朗日对偶定理得到有效前沿。Based on the mean variance criterion, this paper studies the optimal investment reinsurance strategy under Markov modulated model, and assumes that an insurer is allowed to purchase proportional reinsurance business and invest a risk-free asset and two dependent risky assets in the financial market. And the dependence of risky assets is characterized by a common shock of the price process. Stochastic linear quadratic control theory is used to find the optimal investment reinsurance strategy, and the effective frontier is obtained by Lagrange duality theorem.

关 键 词：均值-方差 马尔科夫调制 相依风险资产 随机线性二次型控制 有效前沿 

分 类 号：F27[经济管理—企业管理]