理赔相依风险模型下时间一致的均值-方差策略选择

发布时间：2018-03-23 03:12

  本文选题：通货膨胀　切入点：均值-方差准则　出处：《中山大学学报(自然科学版)》2017年04期 　论文类型：期刊论文

【摘要】：在通货膨胀影响下,研究了一类理赔相依风险模型的,时间一致的最优策略选择问题。两种理赔的相依性通过一个共同的泊松过程来体现。为了减小风险,保险人可以进行再保险;为了增加财富,保险人可以在金融市场上进行投资。进行投资时,考虑了通货膨胀的影响,通货膨胀的影响是通过通货膨胀率对风险资产折算实现的。研究的目标是:保险人选择时间一致的最优再保险-投资策略,最大化终止时刻财富的均值,同时最小化终止时刻财富的方差。因为该问题是时间不一致的,从博弈论的视角对问题进行了求解。应用HamiltonJacobi-Bellman动态规划的方法,得到了时间一致的最优再保险-投资策略和相应值函数的显式解。最后通过数值计算,解释了一些保险市场模型参数对最优再保险策略影响,以及金融市场模型参数和通货膨胀模型参数对最优投资策略的影响。通过研究,可以指导投资者在通货膨胀的影响下进行合理投资,使自身财富最大而风险最小。
[Abstract]:Under the influence of inflation, the time-consistent optimal strategy selection problem for a class of claim dependent risk models is studied. The dependence of two claims is represented by a common Poisson process. The insurer can reinsurance; in order to increase wealth, the insurer can invest in the financial market. The effect of inflation is realized through the conversion of risk assets by inflation rate. The objective of the study is to maximize the average value of wealth at the end of the period by choosing the optimal reinsurance-investment strategy with the same time. Because the problem is time-inconsistent, the problem is solved from the perspective of game theory. The method of HamiltonJacobi-Bellman dynamic programming is used to solve the problem. The explicit solution of the optimal reinsurance strategy and the corresponding value function is obtained. Finally, the influence of some insurance market model parameters on the optimal reinsurance strategy is explained by numerical calculation. The influence of the parameters of financial market model and inflation model on the optimal investment strategy. Through the research, we can guide the investors to invest reasonably under the influence of inflation, making their own wealth the biggest and the risk least.
【作者单位】： 西京学院理学院;第四军医大学唐都医院心血管内科;
【基金】：西京学院院科研基金(XJ160144) 陕西省教育厅科研计划项目(15JK2183)
【分类号】：F224;F840.4
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本文编号：1651630