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

季锟鹏,彭幸春

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

Kunpeng Ji,Xingchun Peng

图 5 $ t=0 $时刻$ \sigma_{R2} $和$ \sigma_{R3} $对最优投资比例与再保险比例的影响