安徽工程大学学报2025，Vol.40Issue(3)：63-70,8.
变利率下基于CEV模型的最优再保险-投资策略
Optimal Reinsurance-investment Strategy Based on CEV Model Under Variable Interest Rate
摘要
Abstract
Assume that the earnings process of an insurance company is described by the jump-diffusion risk model.In order to preserve and increase value,the insurance company purchases excess loss reinsurance to reduce its risk while investing its surplus in risk-free and risky assets in the financial market.Among them,the interest rate of risk-free assets follows the Vasicek interest rate model,and the price of risk assets follows the Constant Elasticity of Variance(CEV)model.The insurance company aims to maximize the expected exponential utility of terminal wealth.Then,the Hamilton-Jacobi-Bellan(HJB)equation corresponding to the value function is established with the method of stochastic optimal control,and the optimal strategy is obtained by solving the equation under the exponential utility function.Finally,the influence of model parameters on the optimal strategy is illustrated by numerical examples.The results show that the risk aversion coefficient and interest rate risk greatly influence the optimal strategy.关键词
超额损失再保险/随机利率/跳-扩散模型/CEV模型/HJB方程Key words
excess loss reinsurance/stochastic interest rate/jump-diffusion model/Constant Elasticity of Variance model/Hamilton-Jacobi-Bellman equation分类
管理科学引用本文复制引用
徐文静,夏登峰,杨铭,韩雪伟..变利率下基于CEV模型的最优再保险-投资策略[J].安徽工程大学学报,2025,40(3):63-70,8.基金项目
安徽省高校自然科学研究重点项目(KJ2021A0514) （KJ2021A0514）
