随机利率对一类最优投资与再保险的影响

Impact on optimal investment and reinsurance by random interest rate

为了避免固定利率在保险实务中带来的巨大偏差,引入随机利率来推导保险公司最优投资与再保险策略,并且通过比较保险公司引入随机利率前后的最优再保险与投资策略,可以看到采用固定利率在实际计算中带来了较大偏差,从而得出采用随机利率更符合实际的结论,对保险公司进行投资有一定的参考价值。

In order to avoid the large deviation caused by fixed interest rates in insurance industry,this paper introduces a stochastic interest rate to calculate optimal investment and reinsurance strategies.In comparison on the strategies derived using a fixed interest rate and a stochastic interest rate,it shows that the investment under random interest rate is more feasible.This study provides some useful insights for insurance company＇s investment.