在跳跃扩散模型下带延迟和错误定价的超额损失再保险和投资的最优化问题

OPTIMIZATION PROBLEM OF EXCESS-OF-LOSS REINSURANCE AND INVESTMENT WITH DELAY AND MISPRICING UNDER THE JUMP-DIFFUSION MODEL

本文研究了在跳跃扩散模型下带延迟和错误定价的超额损失再保险和投资的最优化问题.利用随机控制理论,求解扩展的HJB方程,推导出均衡再保险投资策略和相应的均衡值函数.最后,介绍模型和结果的一些特殊情况,并为其结果提供了一些数值分析.

In this paper,we study an optimization problem of excess-of-loss reinsurance and investment with delay and mispricing under the Jump-diffusion model.Using the stochastic control theory,the equilibrium reinsurance-investment strategy and the corresponding equilibrium value function are derived by solving an extended HJB system.Finally,some special cases of our model and results are presented,and some numerical examples for our results are provided.