保险是一种风险管理工具,通过支付保费,个人或企业可以将潜在的经济损失转移给保险公司。再保险则是保险公司为了分散自身风险而采取的一种策略。保险公司将其承保的部分风险转移给再保险公司,以减轻自身在重大损失事件中的财务压力。...保险是一种风险管理工具,通过支付保费,个人或企业可以将潜在的经济损失转移给保险公司。再保险则是保险公司为了分散自身风险而采取的一种策略。保险公司将其承保的部分风险转移给再保险公司,以减轻自身在重大损失事件中的财务压力。保险和再保险共同构成了风险管理的多层次体系,为社会经济的稳定运行提供了重要保障,所以对保险和再保险的研究具有重要的理论和实践意义。本研究聚焦于时滞效应下的最优再保险投资策略问题。研究内容主要为:在期望效用最大化准则下,多保险公司的最优再保险投资问题。首先金融市场由无风险资产和风险资产构成,其中风险资产的表达式服从Heston模型,并在时滞效应的框架下推导出保险公司的财富过程,随后针对n家保险公司参与的竞争模型,通过运用动态规划原理和随机最优控制理论,分别求解了n家保险公司的最优投资策略和最优再保险策略的解析解。Insurance is a risk management tool that allows individuals or businesses to pass on potential financial losses to insurance companies by paying premiums. Reinsurance is a strategy adopted by insurance companies to spread their own risks. Insurers transfer some of the risks they cover to reinsurers to relieve their own financial stress in the event of a major loss. Insurance and reinsurance together constitute a multi-level system of risk management, which provides an important guarantee for the stable operation of social economy, so the study of insurance and reinsurance has important theoretical and practical significance. This study focuses on the optimal reinsurance investment strategy under the time-lag effect. The research content mainly includes the optimal reinsurance-investment problem for multiple insurance companies under the expected utility maximization criterion. Firstly, the financial market consists of a risk-free asset and a risky asset, where the dynamics of the risky asset follow the Heston model. The wealth process of the insurance company is derived under the framework of time-delay effects. Subsequently, for the competitive model involving n insurance companies, the explicit solutions for the optimal investment strategies and optimal reinsurance strategies of the n insurance companies are derived by applying the dynamic programming principle and stochastic optimal control theory.展开更多
本文研究了带有连续分红的保险公司和再保险公司,在委托代理框架下基于 Stackelberg 随机 微分博弈的最优再保险-投资问题。保险公司通过购买比例再保险来转移风险,且根据期望值保 费原则支付再保险的保费。保险公司和再保险公司的博弈...本文研究了带有连续分红的保险公司和再保险公司,在委托代理框架下基于 Stackelberg 随机 微分博弈的最优再保险-投资问题。保险公司通过购买比例再保险来转移风险,且根据期望值保 费原则支付再保险的保费。保险公司和再保险公司的博弈过程符合 Stackelberg 随机微分博弈, 在均方差准则下建立保险公司和再保险公司的目标函数,利用动态规划原理,通过求解相应的 Hamilton-Jacobi-Bellman (HJB) 方程得出保险公司和再保险公司的纳什均衡策略的显示表达 式。最后,利用数据分析及 MCMC 方法估计模型中的主要参数。This paper studies the optimal reinsurance-investment problem of an insurance com- pany and a reinsurer with continuous dividends under the principal-agent framework, based on the Stackelberg stochastic differential game. The insurance company trans- fers risks by purchasing proportional reinsurance and pays the reinsurance premium according to the expected value premium principle. The game process between the insurance company and the reinsurer conforms to the Stackelberg stochastic differen- tial game. Under the mean-variance criterion, the objective functions of the insurance company and the reinsurer are established. By using the principle of dynamic pro- gramming and solving the corresponding Hamilton-Jacobi-Bellman (HJB) equation, the explicit expressions of the Nash equilibrium strategies of the insurance company and the reinsurer are derived. Finally, data analysis and the Markov Chain Monte Carlo (MCMC) method are used to estimate the main parameters in the model.展开更多
本文以2013~2020年我国51家财险公司为研究对象,通过固定效应和门槛效应,实证考察了财险公司业务结构对其财务稳定性的影响。研究发现:非车险业务占比的提高能够提升财险公司财务稳定性。异质性分析发现,非车险业务占比的提高能够显著...本文以2013~2020年我国51家财险公司为研究对象,通过固定效应和门槛效应,实证考察了财险公司业务结构对其财务稳定性的影响。研究发现:非车险业务占比的提高能够提升财险公司财务稳定性。异质性分析发现,非车险业务占比的提高能够显著地增强中资财险公司财务稳定性,而与外资财险公司财务稳定性的正向关系并不显著;相比于大型中资财险公司,小型中资财险公司非车险业务占比的提高会对财务稳定性产生更明显的正向影响。此外,保险科技在财险公司业务结构对财务稳定性的影响过程中存在单一门槛,且当保险科技高于门槛时,非车险业务占比的提高对财务稳定性的正向促进作用更加明显。This paper examines the impact of the business structure of property insurance companies on their financial stability using a fixed-effects model and threshold regression model, based on data from 51 property insurance companies in China from 2013 to 2020. The study finds that an increase in the proportion of non-auto insurance business enhances the financial stability of property insurance companies. Heterogeneity analysis reveals that the increase in the proportion of non-auto insurance business significantly improves the financial stability of domestic property insurance companies, while the positive relationship with the financial stability of foreign-funded property insurance companies is not significant. Compared to large domestic property insurance companies, small and medium-sized domestic property insurance companies experience a more pronounced positive impact on financial stability from an increase in the proportion of non-auto insurance business. Additionally, the study identifies a single threshold effect of Insurtech in the relationship between business structure and financial stability. When the level of Insurtech exceeds the threshold, the positive effect of an increase in the proportion of non-auto insurance business on financial stability becomes more significant.展开更多
本文研究了具有普通理赔和巨灾理赔两个业务线的保险公司的最优再保险和投资策略。它假设公司购买风险资产受到随机市场影响,索赔的时间和规模受到随机因素的影响,同时考虑金融市场和保险市场之间的共同冲击。建立了一个优化准则,以最...本文研究了具有普通理赔和巨灾理赔两个业务线的保险公司的最优再保险和投资策略。它假设公司购买风险资产受到随机市场影响,索赔的时间和规模受到随机因素的影响,同时考虑金融市场和保险市场之间的共同冲击。建立了一个优化准则,以最大化在有限时间范围内保险公司的累积财富效用。然后,利用动态规划原理和Itô公式,我们推导了Hamilton-Jacobi-Bellman (HJB)方程。由于扩散过程和状态切换的复杂性,很难找到精确的解,因此本文采用了数值方法(Actor-Critic强化学习算法)。最后,我们给出一个数值例子。This paper studies the optimal reinsurance and investment strategies of insurance companies with two business lines: general claims and catastrophic claims. It assumes that the company’s purchase of risky assets is influenced by random market factors, and the timing and scale of claims are affected by random factors, while considering the joint impact between the financial market and the insurance market. An optimization criterion has been established to maximize the cumulative wealth utility of insurance companies within a limited time frame. Then, using the principles of dynamic programming and the Itô formula, we derived the Hamilton Jacobi Bellman (HJB) equation. Due to the complexity of the diffusion process and state switching, it is difficult to find an exact solution, so this paper adopts a numerical method (Actor-Critic reinforcement learning algorithm). Finally, we provide a numerical example.展开更多
文摘保险是一种风险管理工具,通过支付保费,个人或企业可以将潜在的经济损失转移给保险公司。再保险则是保险公司为了分散自身风险而采取的一种策略。保险公司将其承保的部分风险转移给再保险公司,以减轻自身在重大损失事件中的财务压力。保险和再保险共同构成了风险管理的多层次体系,为社会经济的稳定运行提供了重要保障,所以对保险和再保险的研究具有重要的理论和实践意义。本研究聚焦于时滞效应下的最优再保险投资策略问题。研究内容主要为:在期望效用最大化准则下,多保险公司的最优再保险投资问题。首先金融市场由无风险资产和风险资产构成,其中风险资产的表达式服从Heston模型,并在时滞效应的框架下推导出保险公司的财富过程,随后针对n家保险公司参与的竞争模型,通过运用动态规划原理和随机最优控制理论,分别求解了n家保险公司的最优投资策略和最优再保险策略的解析解。Insurance is a risk management tool that allows individuals or businesses to pass on potential financial losses to insurance companies by paying premiums. Reinsurance is a strategy adopted by insurance companies to spread their own risks. Insurers transfer some of the risks they cover to reinsurers to relieve their own financial stress in the event of a major loss. Insurance and reinsurance together constitute a multi-level system of risk management, which provides an important guarantee for the stable operation of social economy, so the study of insurance and reinsurance has important theoretical and practical significance. This study focuses on the optimal reinsurance investment strategy under the time-lag effect. The research content mainly includes the optimal reinsurance-investment problem for multiple insurance companies under the expected utility maximization criterion. Firstly, the financial market consists of a risk-free asset and a risky asset, where the dynamics of the risky asset follow the Heston model. The wealth process of the insurance company is derived under the framework of time-delay effects. Subsequently, for the competitive model involving n insurance companies, the explicit solutions for the optimal investment strategies and optimal reinsurance strategies of the n insurance companies are derived by applying the dynamic programming principle and stochastic optimal control theory.
文摘本文研究了带有连续分红的保险公司和再保险公司,在委托代理框架下基于 Stackelberg 随机 微分博弈的最优再保险-投资问题。保险公司通过购买比例再保险来转移风险,且根据期望值保 费原则支付再保险的保费。保险公司和再保险公司的博弈过程符合 Stackelberg 随机微分博弈, 在均方差准则下建立保险公司和再保险公司的目标函数,利用动态规划原理,通过求解相应的 Hamilton-Jacobi-Bellman (HJB) 方程得出保险公司和再保险公司的纳什均衡策略的显示表达 式。最后,利用数据分析及 MCMC 方法估计模型中的主要参数。This paper studies the optimal reinsurance-investment problem of an insurance com- pany and a reinsurer with continuous dividends under the principal-agent framework, based on the Stackelberg stochastic differential game. The insurance company trans- fers risks by purchasing proportional reinsurance and pays the reinsurance premium according to the expected value premium principle. The game process between the insurance company and the reinsurer conforms to the Stackelberg stochastic differen- tial game. Under the mean-variance criterion, the objective functions of the insurance company and the reinsurer are established. By using the principle of dynamic pro- gramming and solving the corresponding Hamilton-Jacobi-Bellman (HJB) equation, the explicit expressions of the Nash equilibrium strategies of the insurance company and the reinsurer are derived. Finally, data analysis and the Markov Chain Monte Carlo (MCMC) method are used to estimate the main parameters in the model.
文摘本文以2013~2020年我国51家财险公司为研究对象,通过固定效应和门槛效应,实证考察了财险公司业务结构对其财务稳定性的影响。研究发现:非车险业务占比的提高能够提升财险公司财务稳定性。异质性分析发现,非车险业务占比的提高能够显著地增强中资财险公司财务稳定性,而与外资财险公司财务稳定性的正向关系并不显著;相比于大型中资财险公司,小型中资财险公司非车险业务占比的提高会对财务稳定性产生更明显的正向影响。此外,保险科技在财险公司业务结构对财务稳定性的影响过程中存在单一门槛,且当保险科技高于门槛时,非车险业务占比的提高对财务稳定性的正向促进作用更加明显。This paper examines the impact of the business structure of property insurance companies on their financial stability using a fixed-effects model and threshold regression model, based on data from 51 property insurance companies in China from 2013 to 2020. The study finds that an increase in the proportion of non-auto insurance business enhances the financial stability of property insurance companies. Heterogeneity analysis reveals that the increase in the proportion of non-auto insurance business significantly improves the financial stability of domestic property insurance companies, while the positive relationship with the financial stability of foreign-funded property insurance companies is not significant. Compared to large domestic property insurance companies, small and medium-sized domestic property insurance companies experience a more pronounced positive impact on financial stability from an increase in the proportion of non-auto insurance business. Additionally, the study identifies a single threshold effect of Insurtech in the relationship between business structure and financial stability. When the level of Insurtech exceeds the threshold, the positive effect of an increase in the proportion of non-auto insurance business on financial stability becomes more significant.
文摘本文研究了具有普通理赔和巨灾理赔两个业务线的保险公司的最优再保险和投资策略。它假设公司购买风险资产受到随机市场影响,索赔的时间和规模受到随机因素的影响,同时考虑金融市场和保险市场之间的共同冲击。建立了一个优化准则,以最大化在有限时间范围内保险公司的累积财富效用。然后,利用动态规划原理和Itô公式,我们推导了Hamilton-Jacobi-Bellman (HJB)方程。由于扩散过程和状态切换的复杂性,很难找到精确的解,因此本文采用了数值方法(Actor-Critic强化学习算法)。最后,我们给出一个数值例子。This paper studies the optimal reinsurance and investment strategies of insurance companies with two business lines: general claims and catastrophic claims. It assumes that the company’s purchase of risky assets is influenced by random market factors, and the timing and scale of claims are affected by random factors, while considering the joint impact between the financial market and the insurance market. An optimization criterion has been established to maximize the cumulative wealth utility of insurance companies within a limited time frame. Then, using the principles of dynamic programming and the Itô formula, we derived the Hamilton Jacobi Bellman (HJB) equation. Due to the complexity of the diffusion process and state switching, it is difficult to find an exact solution, so this paper adopts a numerical method (Actor-Critic reinforcement learning algorithm). Finally, we provide a numerical example.
