Stackelberg微分博弈下的鲁棒最优投资-再保险问题

Robust Optimal Investment-Reinsurance Problems under Stackelberg Differential Game

考虑一个以模糊厌恶再保险公司为领导者,模糊中立保险公司为追随者的Stackelberg随机微分博弈问题.通过求解拓展的HJB(Hamilton-Jacobi-Bellman)方程组,给出时间一致性均值-方差准则下的鲁棒最优投资-再保险策略以及相应的值函数.最后,通过数值例子和敏感性分析说明最优策略与主要参数之间的关系.

We considered a Stackelberg stochastic differential game problem with an ambiguity-averse reinsurance company as the leader and an ambiguity-neutral insurance company as the follower.By solving the extended HJB(Hamilton-Jacobi-Bellman)equation systems,we gave the robust optimal investment-reinsurance strategies and the corresponding value function under the time-consistent mean-variance criterion.Finally,we gave some numerical examples and sensitivity analyses to illustrate the relationship between the optimal strategies and the main parameters.