仿射利率模型下的最优再保险-投资策略

Optimal Reinsurance and Investment Strategy under Affine Interest Rate Model

研究仿射利率模型下的最优投资与再保险策略问题。保险公司通过购买比例再保险来分担公司风险,并将财富投资于金融市场。金融市场包括一种无风险资产、一种风险资产和一种零息票债券,其中无风险利率是服从仿射利率模型的随机过程,盈余过程遵循带漂移的布朗运动。文章应用动态规划原理得到了指数效用下最优再保险-投资策略的显式解,并给出数值算例分析了市场参数对最优再保险-投资策略的影响。

This paper studies the optimal reinsurance and investment strategy under affine interest rate model.The insurance companies share corporate risks by purchasing proportional reinsurance and investing their wealth into the financial markets.The Financial markets contain a risk-free asset,a risk asset and a zero-coupon bond,in which the interest rate follows affine interest rate modelsand the surplus process follows a Brown motion with drift.By applying the dynamic programming principle,the explicit solution to the optimal reinsurance-investment strategy for exponential utility is obtained,and a numerical example is given to illustrate the influence of market parameters on the optimal reinsuranceinvestment strategy.