中山大学学报（自然科学版）2012，Vol.51Issue(1)：1-8,8.
带外生负债的保险公司最优再保险-投资策略
Optimal Reinsurance-Investment Strategy for an Insurer with Exogenous Liability
摘要
Abstract
The optimal reinsurance-investment strategy for an insurer with an exogenous liability is considered. Assume that the aim of the insurer is to maximize the expected exponential utility of the terminal wealth; the surplus process of the insurer follows a diffusion model while the risky assets'prices and the exogenous liability are governed by geometric Brownian motions. By employing the stochastic dynamic programming, the closed form of the optimal reinsurance-investment strategy and the optimal value function are derived under two cases; (I) the insurer can invest in a financial market and purchase proportional reinsurance or acquire new business, (ii) the insurer can invest in a financial market and purchase proportional reinsurance, but not acquire new business. Finally, a numerical example is given to show the impact of the exogenous liability and the market parameters on the optimal strategy.关键词
投资组合/再保险/资产负债管理/最大化效用/外生负债Key words
portfolio/ reinsurance/ asset-liability management/ utility maximization/ exogenous liability分类
数理科学引用本文复制引用
李婵娟,李仲飞,曾燕..带外生负债的保险公司最优再保险-投资策略[J].中山大学学报（自然科学版）,2012,51(1):1-8,8.基金项目
国家杰出青年科学基金资助项目(70825002) （70825002）
国家973计划资助项目(2007CB814902) （2007CB814902）
2011年度中山大学人文社会科学青年教师桐山基金资助项目:中国博士后科学基金资助项目(2011M501351) （2011M501351）
