In this paper,we consider an optimal investment and proportional reinsurance problem with delay,in which the insurer’s surplus process is described by a jump-diffusion model.The insurer can buy proportional reinsuran...In this paper,we consider an optimal investment and proportional reinsurance problem with delay,in which the insurer’s surplus process is described by a jump-diffusion model.The insurer can buy proportional reinsurance to transfer part of the insurance claims risk.In addition to reinsurance,she also can invests her surplus in a financial market,which is consisted of a risk-free asset and a risky asset described by Heston’s stochastic volatility(SV)model.Considering the performance-related capital flow,the insurer’s wealth process is modeled by a stochastic differential delay equation.The insurer’s target is to find the optimal investment and proportional reinsurance strategy to maximize the expected exponential utility of combined terminal wealth.We explicitly derive the optimal strategy and the value function.Finally,we provide some numerical examples to illustrate our results.展开更多
In this paper, we consider the leverage effect on the CSI 300 Index yield and Hong Kong Hang Seng Index yield. It is modeled by the SV model with leverage. In this model, we compare the mainland and the Hong Kong stoc...In this paper, we consider the leverage effect on the CSI 300 Index yield and Hong Kong Hang Seng Index yield. It is modeled by the SV model with leverage. In this model, we compare the mainland and the Hong Kong stock market with stock market long-term effect, the degree on fluctuation reply and leverage effect so on. The analysis results show that the leverage stochastic volatility model can well fitting rate of return on the CSI300 index and the Hang Seng index in Hong Kong;The Shanghai and Shenzhen stock market volatility and leverage effect obviously stronger than the Hong Kong stock market.展开更多
基金This research was supported by the National Natural Science Foundation of China(No.71801186)the Science Foundation of Ministry of Education of China(No.18YJC630001)the Natural Science Foundation of Guangdong Province of China(No.2017A030310660).
文摘In this paper,we consider an optimal investment and proportional reinsurance problem with delay,in which the insurer’s surplus process is described by a jump-diffusion model.The insurer can buy proportional reinsurance to transfer part of the insurance claims risk.In addition to reinsurance,she also can invests her surplus in a financial market,which is consisted of a risk-free asset and a risky asset described by Heston’s stochastic volatility(SV)model.Considering the performance-related capital flow,the insurer’s wealth process is modeled by a stochastic differential delay equation.The insurer’s target is to find the optimal investment and proportional reinsurance strategy to maximize the expected exponential utility of combined terminal wealth.We explicitly derive the optimal strategy and the value function.Finally,we provide some numerical examples to illustrate our results.
文摘In this paper, we consider the leverage effect on the CSI 300 Index yield and Hong Kong Hang Seng Index yield. It is modeled by the SV model with leverage. In this model, we compare the mainland and the Hong Kong stock market with stock market long-term effect, the degree on fluctuation reply and leverage effect so on. The analysis results show that the leverage stochastic volatility model can well fitting rate of return on the CSI300 index and the Hang Seng index in Hong Kong;The Shanghai and Shenzhen stock market volatility and leverage effect obviously stronger than the Hong Kong stock market.
