控制理论与应用2011，Vol.28Issue(4)：467-471,5.
风险资本约束下保险公司的最优比例再保险-投资策略
Optimal proportional reinsurance-investment policies for an insurer under Capital-at-Risk constraint
摘要
Abstract
This paper investigates a reinsurance-investment problem for an insurer.Assume that the integral risk of the insurer is measured by Capital-at-Risk(CaR), the surplus process is described by a diffusion approximation model;the insurer is allowed to purchase proportional reinsurance(or acquire new business) and to invest on a risk-free asset and multiple risky assets at any time; the prices of risky assets are driven by the model of geometric Brownian motions.The target of the insurer is to maximize the expectation of the terminal wealth under a CaR constraint.Two mean-CaR models are established for the problem.Explicit expressions of the optimal policies and efficient frontiers to the models are derived by using a hierarchical optimization method and the variational calculus approach.关键词
风险资本约束/比例再保险策略/投资策略/保险公司/整体风险Key words
Capital-at-Risk constraint/ proportional reinsurance policy/ investment policy/ insurer/ integral risk分类
管理科学引用本文复制引用
曾燕,李仲飞..风险资本约束下保险公司的最优比例再保险-投资策略[J].控制理论与应用,2011,28(4):467-471,5.基金项目
国家杰出青年科学基金资助项目(70825002). （70825002）
