摘要
研究了经典Cramer-Lundberg风险模型的均值-方差策略选择问题.保险公司可以采取再保险和在金融市场上投资来减小风险和增加财富.风险资产的价格通过CEV模型来描述,它是Black-Scholes模型的推广.通过把原先的均值-方差问题转化为一个辅助问题,应用线性-二次控制理论解决了辅助问题.最终获得了最优的再保险、投资策略和有效边界的显式解,同时得到了最小终值方差和相应的策略.
This paper studies mean-variance strategies selection problem for classical Cramer-Lundberg risk model.Proportional reinsurance and investment in finance market are adopted by the insurance company to reduce risk and increase profit.The risky asset price describe by a CEV（constant elasticity of variance） model,which is an extension of Black-Scholes model.We change the original mean-variance problem into an auxiliary problem.Through linear-quadratic（LQ） control theory,we solve the auxiliary problem.Finally,closed form of optimal reinsurance,investment strategies and efficient frontier are obtained,meanwhile the minimum terminal variance along with the portfolio that attains the minimum variance are obtained.
出处
《系统科学与数学》
CSCD
北大核心
2014年第9期1100-1107,共8页
Journal of Systems Science and Mathematical Sciences
基金
国家自然科学基金(11271375)资助
西京学院校级科研项目(XJ130246)资助课题
关键词
均值-方差准则
CEV模型
线性二次控制
再保险
投资
有效边界
Mean-variance criterion
CEV model
linear-quadratic control
reinsurance
investment
efficient frontier
