In this paper,we consider an optimal investment and proportional reinsurance problem with delay,in which the insurer’s surplus process is described by a jump-diffusion model.The insurer can buy proportional reinsuran...In this paper,we consider an optimal investment and proportional reinsurance problem with delay,in which the insurer’s surplus process is described by a jump-diffusion model.The insurer can buy proportional reinsurance to transfer part of the insurance claims risk.In addition to reinsurance,she also can invests her surplus in a financial market,which is consisted of a risk-free asset and a risky asset described by Heston’s stochastic volatility(SV)model.Considering the performance-related capital flow,the insurer’s wealth process is modeled by a stochastic differential delay equation.The insurer’s target is to find the optimal investment and proportional reinsurance strategy to maximize the expected exponential utility of combined terminal wealth.We explicitly derive the optimal strategy and the value function.Finally,we provide some numerical examples to illustrate our results.展开更多
将资产投资于无风险资产、风险资产和违约债券,在MV标准下得出DC型养老金的均衡投资策略,风险资产价格服从Heston模型。在现实中,存在缴费人提前死亡,以及在积累阶段,一部分养老金成员可能会死亡的情况,他们的保险费应被撤回,其余的尚...将资产投资于无风险资产、风险资产和违约债券,在MV标准下得出DC型养老金的均衡投资策略,风险资产价格服从Heston模型。在现实中,存在缴费人提前死亡,以及在积累阶段,一部分养老金成员可能会死亡的情况,他们的保险费应被撤回,其余的尚存成员则平均分配收益和积累之间的差额。所以考虑将缴费的一部分投入到违约债券从而保护缴款人的利益。在均值方差的原则前提下,利用动态规划原理,建立了相应的HJB(Hamilton Jacob Bellman)方程并求解,得出最优的资产分配策略使得最后的收益达到最大并且损失最小。最后使用Matlab软件进行数值模拟,分析各项参数对DC型养老金最优策略的影响。展开更多
基金This research was supported by the National Natural Science Foundation of China(No.71801186)the Science Foundation of Ministry of Education of China(No.18YJC630001)the Natural Science Foundation of Guangdong Province of China(No.2017A030310660).
文摘In this paper,we consider an optimal investment and proportional reinsurance problem with delay,in which the insurer’s surplus process is described by a jump-diffusion model.The insurer can buy proportional reinsurance to transfer part of the insurance claims risk.In addition to reinsurance,she also can invests her surplus in a financial market,which is consisted of a risk-free asset and a risky asset described by Heston’s stochastic volatility(SV)model.Considering the performance-related capital flow,the insurer’s wealth process is modeled by a stochastic differential delay equation.The insurer’s target is to find the optimal investment and proportional reinsurance strategy to maximize the expected exponential utility of combined terminal wealth.We explicitly derive the optimal strategy and the value function.Finally,we provide some numerical examples to illustrate our results.
文摘将资产投资于无风险资产、风险资产和违约债券,在MV标准下得出DC型养老金的均衡投资策略,风险资产价格服从Heston模型。在现实中,存在缴费人提前死亡,以及在积累阶段,一部分养老金成员可能会死亡的情况,他们的保险费应被撤回,其余的尚存成员则平均分配收益和积累之间的差额。所以考虑将缴费的一部分投入到违约债券从而保护缴款人的利益。在均值方差的原则前提下,利用动态规划原理,建立了相应的HJB(Hamilton Jacob Bellman)方程并求解,得出最优的资产分配策略使得最后的收益达到最大并且损失最小。最后使用Matlab软件进行数值模拟,分析各项参数对DC型养老金最优策略的影响。