摘要
本文研究保险公司在Markov调节下基于时滞及相依风险模型的最优再保险与最优投资问题,其中市场被划分为有限个状态,一些重要的参数随着市场状态的转换而变化.假设保险公司的盈余过程由复合Poisson过程描述,而风险资产的价格过程由几何跳扩散模型刻画,并且假设这两个跳过程是相依的.以最大化终端财富值的均值-方差效用为目标,在博弈论框架下,利用随机控制理论和相应的广义Hamilton-Jacobi-Bellman(HJB)方程,本文得到最优策略和值函数的显式表达,并证明解的存在性和唯一性.最后,通过一些数值实例,验证所得结论的正确性,并探讨一些重要参数对最优策略的影响.
This paper studies the optimal reinsurance and investment problem for an insurer in a Markovian regime-switching economy with the delayed system,in which the market modes are divided into a finite number of regimes,and all the key parameters change according to the value of different market modes.It is assumed that the insurance risk process of the insurer is modulated by a compound Poisson process while the price process of the risky asset is governed by a jump-diffusion model,and that the two jump processes are correlated through a common shock.Under the criterion of maximizing the expected mean-variance utility of terminal wealth,explicit expressions for the optimal strategies and the value function are obtained within a game theoretic framework by using the technique of stochastic control theory and the corresponding extended Hamilton-Jacobi-Bellman equation.The existence and uniqueness of the solutions are also verified.Finally,numerical examples are presented to show the impacts of some parameters on the optimal results.
作者
张彩斌
梁志彬
袁锦泉
Caibin Zhang;Zhibin Liang;Kam Chuen Yuen
出处
《中国科学:数学》
CSCD
北大核心
2021年第5期773-796,共24页
Scientia Sinica:Mathematica
基金
国家自然科学基金(批准号:11471165和11771079)
香港研究资助局(批准号:HKU17329216)资助项目。
关键词
均值-方差
再保险与投资
相依风险
广义HJB方程
时滞
Markov调节
mean-variance
reinsurance and investment
dependent risk
extended Hamilton-Jacobi-Bellman equation
delay
Markovian regime-switching