%0 Journal Article
%T Optimal proportional reinsurance-investment policies for an insurer under Capital-at-Risk constraint<br>风险资本约束下保险公司的最优比例再保险–投资策略
%A ZENG Yan
%A LI Zhong-fei
%A <br>曾燕
%A 李仲飞
%J 控制理论与应用
%D 2011
%I 
%X 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 ef cient frontiers to the models are derived by using a hierarchical optimization method and the variational calculus approach.
%K Capital-at-Risk constraint
%K proportional reinsurance policy
%K investment policy
%K insurer
%K integral risk<br>风险资本约束
%K 比例再保险策略
%K 投资策略
%K 保险公司
%K 整体风险
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=5B3AB970F71A803DEACDC0559115BFCF0A068CD97DD29835&cid=8240383F08CE46C8B05036380D75B607&jid=970898A57DFC021F93AB51667BAED7F7&aid=8A3F7640FE715CF5119C54266237393D&yid=9377ED8094509821&vid=D3E34374A0D77D7F&iid=E158A972A605785F&sid=98494933359B55EC&eid=DCE57F652E4ADAFC&journal_id=1000-8152&journal_name=控制理论与应用&referenced_num=0&reference_num=24