马尔可夫机制转换模型下保险公司的最优投资及再保险策略
PDF下载 (419)王伟,甘少波.马尔可夫机制转换模型下保险公司的最优投资及再保险策略[J].宁波大学学报(理工版),2015,28(01):58-64.DOI:
WANG Wei,GAN Shao-bo.Optimal Policies on Investment and Reinsurance Based on a Markov Regime Switching Model[J].Journal of Ningbo University(Natural Science & Engineering Edition),2015,28(01):58-64.DOI:
| Title: | Optimal Policies on Investment and Reinsurance Based on a Markov Regime Switching Model |
| 作者: | 王伟, 甘少波 |
| Author(s): | WANG Wei, GAN Shao-bo |
| 关键词: | 机制转换; 再保险; 指数效用函数 |
| Keywords: | regime switching; reinsurance; exponential utility |
| 分类号: | O211.9 |
| 文献标识码: | A |
| 摘要: | 研究了马尔可夫机制转换模型下保险公司的最优投资及再保险策略问题. 假定风险资产价格满足马尔可夫调制的几何布朗运动, 得到了最终财富的指数期望效用最大准则下的最优投资和最优再保险策略. 结果表明: 市场的经济状态对最优投资策略有很大影响, 并通过数值计算分析了模型中市场利率和绝对风险厌恶系数与最优投资策略和最优再保险策略的关系. |
| Abstract: | The problem of optimal investment and reinsurance policies based on a Markov regime switching model is studied. The dynamics of a risky asset is assumed to follow a Markov-modulated geometry Brownian motion, and an optimal investment and reinsurance policy by maximizes the expected exponential utility of terminal wealth is obtained. The results indicate that regime switching has a significant effect on the optimal investment strategies. In the end, the numerical analysis is provided which presents the effect of the market interest rate and absolute risk aversion parameter on the optimal investment and reinsurance policies. |
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| 备注/Memo: | 收稿日期: 2013?12?07. 宁波大学学报（理工版）网址: http://journallg.nbu.edu.cn/ 基金项目: 浙江省自然科学基金（LQ12A01006）; 教育部人文社会科学研究项目（12YJC910009）; 宁波市自然科学基金（2013A610106）; 浙江省教育厅研究项目（Y201120129）. 第一作者: 王伟（1982－）, 男, 安徽安庆人, 博士/讲师, 主要研究方向: 金融数学. E-mail: wangwei2@nbu.edu.cn 宁波大学学报（理工版）网址：http://journallg.nbu.edu.cn/ |
