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OALib Journal期刊
ISSN: 2333-9721
费用：99美元
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最小化损失概率的再保险和投资问题
, PP. 1-9
Keywords: hjb方程,损失概率,价值函数,交易费用
Abstract:
本文考虑保险公司的再保险和投资策略问题.为了在降低风险的同时增加收益,保险公司会考虑在再保险的基础上将剩余财富投资到m种风险资产中.资产中风险资产的价格波动服从几何布朗运动.本文给出了考虑再保险和投资之后的财富模型,基于最小化损失概率的基础上求解其相应的hjb方程,从而给出保险公司的再保险和投资的最优策略.
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