Optimal mean‑variance investment‑reinsurance strategy for a dependent risk model with Ornstein‑Uhlenbeck Process
Optimal mean‑variance investment‑reinsurance strategy for a dependent risk model with Ornstein‑Uhlenbeck Process
复制标题
采用 Ornstein Uhlenbeck 过程的相关风险模型的最优均值方差投资再保险策略
DOI：
10.1007/s11009-021-09902-5
复制
发表时间：
2022
影响因子：
0.9
通讯作者：
Junyi Guo
中科院分区：
文献类型：
--
作者：
Yingxu Tian;Zhongyang Sun;Junyi Guo
本文研究了具有两类相依保险业务的保险公司的最优投资再保险策略，其中索赔数过程通过一个共同的冲击相关。假设保险人可以将其财富投资于一种无风险资产和多种风险资产，同时，投资收益率是随机的，且服从均值回复过程。基于线性二次型控制理论，采用倒向随机微分方程（Bundle）方法求解均值-方差优化问题。显式表达式的有效策略和有效边界。最后，数值例子来说明我们的结果。
In this paper, we investigate the optimal investment-reinsurance strategy for an insurer with two dependent classes of insurance business, where the claim number processes are correlated through a common shock. It is assumed that the insurer can invest her wealth into one risk-free asset and multiple risky assets, and meanwhile, the instantaneous rates of investment return are stochastic and follow mean-reverting processes. Based on the theory of linear-quadratic control, we adopt a backward stochastic differential equation (BSDE) approach to solve the mean-variance optimization problem. Explicit expressions for both the efficient strategy and efficient frontier are derived. Finally, numerical examples are presented to illustrate our results.