摘要
假定保险公司既可以投资在风险资产上,同时又允许混合再保险。用经典的Cramér-Lundberg模型来近似保险公司的盈余过程,考虑在期望效用最大限制下保险公司的最优投资和再保策略满足的方程,证明了解的存在性和最优性。
Under the assumptions that the insurer can invest in the risky asset and reinsurance.The risk process of the insurance company is approximated by the classic Cram＆#233;r-Lundberg model.The equation that the optimal investment and reinsurance satisfies when the expected utility is maximized is obtained.The existence and optimization of the policy is proved.
出处
《经济研究导刊》
2015年第9期20-22,共3页
Economic Research Guide
基金
河南省教育厅科学技术研究重点项目(14B110024)
郑州市科技局项目(20141375)
关键词
期望效用
混合再保
投资
the expected utility
mixed reinsurance
investment
