保险赔付中的最优对冲策略

The Hedging Strategies of Optimization in Insurance Payment Processes

本文对带有付费过程A_t的保险公司在金融市场(S_t,Q_t,B_t)上通过购买股票S_t、兑换外币Q_t以及购买无风险资产B_t的投资过程而采取的最优投资策略,使保险公司所面临的风险最小进行探讨.利用Galtchouk-Kunita-Watanabe分解定理将风险表达式重新表达,从而找到保险公司所能采取的风险最小的最优对冲策略.文中举出一个具有现实性意义的例子将文章的重要结论加以应用,使本文更具有应用价值.

In this paper we discuss the insurance companies with payment process At hedge their risk to the level of minimax by buying stocks St, exchanging foreign - currency Qt and buying risk - free asset Bt in the financial market （St,Qt, Bt）. In virtue of Galtchouk-Kunita-Watanabe Decomposition Theorem, the expression of risk is expressed over again. Then we get the hedging strategies of optimization with minimal risk. It gives out a realistic example to apply the important conclusion in this paper, which makes this paper to be more practical.