An optimal quota-share and excess-of-loss reinsurance and investment problem is studied for an insurer who is allowed to invest in a risk-free asset and a risky asset.Especially the price process of the risky asset is...An optimal quota-share and excess-of-loss reinsurance and investment problem is studied for an insurer who is allowed to invest in a risk-free asset and a risky asset.Especially the price process of the risky asset is governed by Heston's stochastic volatility(SV)model.With the objective of maximizing the expected index utility of the terminal wealth of the insurance company,by using the classical tools of stochastic optimal control,the explicit expressions for optimal strategies and optimal value functions are derived.An interesting conclusion is found that it is better to buy one reinsurance than two under the assumption of this paper.Moreover,some numerical simulations and sensitivity analysis are provided.展开更多
In this paper, we consider the leverage effect on the CSI 300 Index yield and Hong Kong Hang Seng Index yield. It is modeled by the SV model with leverage. In this model, we compare the mainland and the Hong Kong stoc...In this paper, we consider the leverage effect on the CSI 300 Index yield and Hong Kong Hang Seng Index yield. It is modeled by the SV model with leverage. In this model, we compare the mainland and the Hong Kong stock market with stock market long-term effect, the degree on fluctuation reply and leverage effect so on. The analysis results show that the leverage stochastic volatility model can well fitting rate of return on the CSI300 index and the Hang Seng index in Hong Kong;The Shanghai and Shenzhen stock market volatility and leverage effect obviously stronger than the Hong Kong stock market.展开更多
基金National Natural Science Foundation of China(No.62073071)Fundamental Research Funds for the Central Universities and Graduate Student Innovation Fund of Donghua University,China(No.CUSF-DH-D-2021045)。
文摘An optimal quota-share and excess-of-loss reinsurance and investment problem is studied for an insurer who is allowed to invest in a risk-free asset and a risky asset.Especially the price process of the risky asset is governed by Heston's stochastic volatility(SV)model.With the objective of maximizing the expected index utility of the terminal wealth of the insurance company,by using the classical tools of stochastic optimal control,the explicit expressions for optimal strategies and optimal value functions are derived.An interesting conclusion is found that it is better to buy one reinsurance than two under the assumption of this paper.Moreover,some numerical simulations and sensitivity analysis are provided.
文摘In this paper, we consider the leverage effect on the CSI 300 Index yield and Hong Kong Hang Seng Index yield. It is modeled by the SV model with leverage. In this model, we compare the mainland and the Hong Kong stock market with stock market long-term effect, the degree on fluctuation reply and leverage effect so on. The analysis results show that the leverage stochastic volatility model can well fitting rate of return on the CSI300 index and the Hang Seng index in Hong Kong;The Shanghai and Shenzhen stock market volatility and leverage effect obviously stronger than the Hong Kong stock market.
