金融风险模型的最优投资策略与风险管理研究

本项目对再保险风险模型，在赋税、具有外部资金注入、公司内部具有竞争、部分信息条件等四种情形下，系统研究再保险风险模型最优再保险策略、最优赋税策略、最优投资策略。针对保险公司潜在的保险事故风险、金融投资风险，系统研究相应有效的风险度量方法，以达到对公司保险金融总风险的监控。对Levy风险模型，研究其精细大偏差。项目涉及保险数学、金融投资组合、金融风险度量、动态规划、随机分析、随机过程等学科领域；属保险与金融的交叉研究；所获成果可望用于保险公司的风险监控、指导保险公司的投资决策。

This project is to systematically study optimal reinsurance strategy, optimal taxation strategy or optimal investment policy for reinsurance risk models subject to the constraints of four factors: taxation, external capital injection ,internal competition and partial information. The project is also dedicated to investigating effective risk measures of potential insurance risks and financial investment risks, which enables the company to take full control of the total insurance or financial risks. The project also study the precise large deviations for Levy risk processes. The project is involved with fields such as insurance mathematics, financial investment portfolio, financial risk measure, dynamic programming, stochastic analysis, stochastic processes and so on. Hence, it is an interdisciplinary of insurance and finance. The results of this project can be used to the potential control of insurance risks and to give directions to investment decision making of insurance companies.