CEV模型下鲁棒最优投资和超额损失再保险问题研究.pdfVIP

Statistics and Application 统计学与应用, 2018, 7(5), 495-504 Published Online October 2018 in Hans. /journal/sa /10.12677/sa.2018.75058 Research on Robust Optimal Investment and Excess-of-Loss Reinsurance under CEV Model Bing Li, Caixia Geng Hebei University of Technology, Tianjin th th th Received: Sep. 30 , 2018; accepted: Oct. 12 , 2018; published: Oct. 19 , 2018 Abstract In this paper, we investigate an optimal investment and excess-of-loss reinsurance strategy for an ambiguity-averse insurer (AAI). The financial market consists of one risk-free asset and one risky asset whose price is modeled by a constant elasticity of variance (CEV) model. The insurer can purchase excess-of-loss reinsurance and invest in the financial market. The surplus process of the insurer is approximated by a Brownian motion with drift. The objective is to maximize the minim- al expected exponential utility function of the insurers terminal wealth. By using the dynamic programming approach, we solve the Hamilton-Jacobi-Bellman (HJB) equation and derive the closed form expression of the optimal strategy and the corresponding value function for exponen- tial utility function. Finally, we present numerical examples to illustrate the effects of model pa- rameters on the optimal investment and reinsurance strategies. Keywords Robust Control, Excess-of-Loss Reinsurance, Expected Exponential Utility, HJB Equation CEV模型下鲁棒最优投资和超额损失再保险问 题研究 李 冰，耿彩霞 河北工业大学，天津 收稿日期：2018年9月30 日；录用日期：2018年10月12 日；发布日期：2018年10月19 日 文章引用: 李冰, 耿彩霞. CEV 模型下鲁棒最优投资和超额损失再保险问题研究[J]. 统计学与应用, 2018, 7(5): 495-504. DOI: 10.12677/sa.2018.75058 李冰，耿彩霞 摘 要