周期风险模型下的保险基金最优投资研究

Optimal investment for an insurer with periodic risk model

考虑周期风险模型下保险人的最优投资问题.假设保险人可投资于多种风险资产,投资目标是最大化风险过程的调节系数.当风险资产的价格过程服从几何布朗运动时,采用鞅方法给出保险人破产概率的指数型上界,得到了最优投资策略的解析解.最后根据国内股票市场的实际数据进行了实证分析.

This paper considers an optimal investment problem for a general insurer in the sense of maximizing the adjustment coefficient of the risk process. The risk process is modeled by a periodic risk process which is more practical than the classical Cram6r-Lundberg model. When insurer can invest in multiple risky assets whose price processes are described by the geometrical Brownian motions, the exponential bound for ruin probability and explicit optimal strategy are obtained via the martingale approach. Finally, a numerical example is given for raw market data.