基于Mean-Variance-CVaR准则的保险公司最优资产配置与再保险策略

doi:10.3969/j.issn.1001-4268.2020.05.008

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摘要

本文研究了连续时间下保险公司基于均值--方差CVaR准则选择最优资产配置和再保险策略的问题.我们运用鞅方法求解优化问题并得到了相应的显示解. 基于数值模拟, 我们分析了在不同参数值下最优财富、资产配置和再保险策略随市场条件变化而变化的趋势.

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	赵霞
	时雨

关键词 ：资产配置, 再保险策略, Mean-Variance-CVaR准则, 鞅方法

Abstract：

This paper studies the optimal asset allocation and reinsurance problem under mean-variance-CVaR criteria for an insurer in continuous-time. We obtain the closed-form solution of optimization problem by using martingale method. Numerical results show the trends of optimal wealth, investment and reinsurance strategies with various parameter values.

Key words： asset allocation reinsurance policy mean-variance-CVaR criteria martingale method

PACS:

O211.6

基金资助:

The project was partially supported by the National Natural Science Foundation of China (Grant Nos. 71671104; 11971301) and the Project of Humanities Social Sciences of Research of the Ministry of Education, China (Grant No. 16YJA910003).

引用本文:

赵霞；时雨. 基于Mean-Variance-CVaR准则的保险公司最优资产配置与再保险策略[J]. 应用概率统计, 2020, 36(5): 536-550. ZHAO Xia；SHI Yu. Asset Allocation and Reinsurance Policy for a Mean-Variance-CVaR Insurer in Continuous-Time. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2020, 36(5): 536-550.

链接本文:

http://aps.ecnu.edu.cn/CN/10.3969/j.issn.1001-4268.2020.05.008 或 http://aps.ecnu.edu.cn/CN/Y2020/V36/I5/536