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. DOI: 10.3969/j.issn.1001-4268.2020.05.008
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. DOI: 10.3969/j.issn.1001-4268.2020.05.008
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ZHAO Xia, SHI Yu. Asset Allocation and Reinsurance Policy for a Mean-Variance-CVaR Insurer in Continuous-Time[J]. Chinese Journal of Applied Probability and Statistics, 2020, 36(5): 536-550. DOI: 10.3969/j.issn.1001-4268.2020.05.008
Citation: ZHAO Xia, SHI Yu. Asset Allocation and Reinsurance Policy for a Mean-Variance-CVaR Insurer in Continuous-Time[J]. Chinese Journal of Applied Probability and Statistics, 2020, 36(5): 536-550. DOI: 10.3969/j.issn.1001-4268.2020.05.008
shu

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

Asset Allocation and Reinsurance Policy for a Mean-Variance-CVaR Insurer in Continuous-Time

    摘要
  • 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.

     

    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.

     

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