存贷利率不等条件下含不动产的最优保险投资决策

Optimal investment decision for insurer with real estate under different interest rates on deposit and loan

在不动产投资对保险资金放开以及存贷利率不等的市场条件下,针对保险公司对不动产及证券的投资问题,假设保险公司的盈余过程为纯跳跃的Cramer-Lundberg模型,不动产的价格服从几何布朗运动,不动产有折旧和租金收入,建立保险公司总资产价值效用最大化模型.在指数效用情形下,应用动态规划原理,通过对不动产投资上下界约束的分类讨论,得到不同情形下保险公司最优投资策略的表达式.最后给出的算例验证了模型的有效性和适用性.

Under the real market conditions, insurance funds can be invested in real estate and the borrowing rate is different from the deposit rate. This paper studies the investment problem in real estate and securities for an insurer. Assuming that the surplus process is a Cramer-Lundberg model with pure jumps and that the price of real estate follows a geometric Brownian motion, considering the depreciation and rental income of real estate, a model which aims to maximize the expected utility of total wealth of the insurer is established. In the exponential utility function case, by using the principle of dynamic programming and classifying the upper and lower bound constraints of real estate investment, the optimal investment strategies are derived explicitly.Finally, the validity and applicability of the model are verified by a numerical example.