两类风险模型的最优投资和再保险策略概率论与数理统计-概率论与数理统计专业论文.docxVIP

~、 分散风 分散风 但投资 是有风险的，再保险也需要分一部分保费给再保险公司．因此，研究 最优投资和最优再保险问题，对保险公司来说，具有很重要的理论和 现实意义．随着金融保险市场的蓬勃发展，相对于风险来说，保险公 司更关心它们的收益．鉴于这种实际需求，最优分红问题已经成为风 险理论中研究的一个重要课题． 本论文研究两类风险模型中的最优投资和再保险策略． 第三章，对扩散风险模型中的红利分配引入适当投资和比例再 保险，在阈值分红方式下，用动态规划原理得到了一个HJB方程，然 后用经典的方法得到了它的解，得到使得期望红利最大的最优投资和 比例再保险策略，并通过数值计算给出了投资和再保险对期望红利的 影响． 第四章，讨论了跳．扩散风险模型下的超额损失再保险和最优投 资，用扩散逼近方法，通过求解对应的HJB方程得到了最优投资策 略和最优超额损失再保险及最小破产概率的显式表达式，最后通过数 值分析找到最小破产概率与各参数之间的关系． 关键词随机控制，比例再保险，超额损失再保险，阈值分红， Hamilton．Jacobi．Bellman方程 ABSTRACTAB ABSTRACTAB 1 In insurance practice，the insurance company can divert and diverge the risks by purchasing reinsurance．At the same time，the insurance company can also invest some of the surplus in the financial market to increase wealth．Apparently，risky investment Call be dangerous and reinsurance will diverge part of the premiums to the reinsurance company． Therefore，it is of important practical significance for the insurance company tO study the optimal investment and optimal reinsurance policy． Further more，with the development of insurance theory and practice， dividends are also taken into account in the research of risk theory． In this thesis，we study two optimization problems on investment and reinsurance． In chapter 3，we study the optimal investment strategy and the optimal reinsurance policy in the sense of maximizing the total dividends， where the surplus associated to the underlying investment and reinsurance policy satisfies an Ito stochastic differential equation and the dividend distribution follows the．threshold rule．By applying the stochastic dynamic programming method，an HJB equation related to the problem is obtained，and the optimal investment strategy and the optimal reinsurance policy thus follows by solving this HJB equation．In addition，the impacts of investment and reinsurance on dividend are also illustrated by numerical calculation． In chapter 4，we study the jump-diffusion risk model with investment and XL reinsurance．The optimal investment strategy and the optimal rein