考虑通胀风险与最低绩效保障的损失厌恶型保险公司的最优投资与再保险策略

Abstract

Abstract:

This paper studies the optimal investment and reinsurance strategies of a loss-averse insurer, considering inflation risk and minimum performance guarantee. Assume that the insurance surplus is correlated with the inflation-indexed bond process and the stock price process. The investment options of the insurer include inflation-indexed bond, stock and risk-free asset. Meanwhile, the insurer can purchase proportional reinsurance to diversify risks. Under the criterion of maximizing the expected S-shaped utility, the detailed expressions of the optimal investment and reinsurance strategies are derived by using the martingale method, and the influences of parameter variations on the investment and reinsurance strategies are analyzed by numerical simulations.

Key words: Proportional reinsurance, S-shaped utility function, Inflation, Minimum performance guarantee, Martingale method

CLC Number:

O211.6

Kunpeng Ji,Xingchun Peng. Optimal Investment and Reinsurance Strategies for Loss-averse Insurer Considering Inflation Risk and Minimum Performance Guarantee[J].Acta mathematica scientia,Series A, 2022, 42(4): 1265-1280.

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[1]	CHEN Mi, GUO Jun-Yi. Optimal Investment and Proportional Reinsurance under Exponential Premium Calculation [J]. Acta mathematica scientia,Series A, 2014, 34(5): 1161-1172.
[2]	ZHANG Xin-Li, SUN Wen-Yu. Optimal Proportional Reinsurance and Investment with Transaction Costs and Liability [J]. Acta mathematica scientia,Series A, 2012, 32(1): 137-147.

Optimal Investment and Reinsurance Strategies for Loss-averse Insurer Considering Inflation Risk and Minimum Performance Guarantee

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