Ornstein-Uhlenbeck模型的最优再保险和投资
OPTIMAL REINSURANCE AND INVESTMENT FOR ORNSTEIN-UHLENBECK MODEL
研究了均值-方差准则下保险公司的最优再保险和投资.保险公司的盈余满足Cramer-Lundberg风险模型;为了减小风险,它可以采取再保险;同时为了增加财富, 它可以进行投资.风险资产通过Ornstein-Uhlenbeck (O-U)模型来描述.研究目标是:求得最优再保险策略、最优投资策略及有效边界的显式解.应用 It\^{o} 公式和线性-二次控制理论求解了该问题.通过文章研究不仅丰富和发展了策略选择问题,也对保险公司进行再保险和投资具有一定的指导意义.
Under mean-variance criterion, this paper studies optimal reinsurance and investment for insurance company. The surplus of the insurance company satisfy Cramer-Lundberg risk model. Reinsurance and investment in finance market are adopted by the insurance company to reduce risk and increase profit. The risky asset price is describe by a Ornstein-Uhlenbeck (O-U) model. The studies aim are obtain closed form of optimal reinsurance and investment strategies and efficient frontier. Through linear-quadratic (LQ) control theory and It\^{o} Formula, we solve the problem. Through this paper studies not only enrich and develop the strategy selection problem but also have some significance for insurance companies when it reinsurance and investment.
均值-方差准则 / Ornstein-Uhlenbeck模型 / It\^{o} 公式 / 再保险 / 投资 / 线性二次控制. {{custom_keyword}} /
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