This paper considers the optimal investment and premium control problem in a diffusion approxi- mation to a non-homogeneous compound Poisson process. In the nonlinear diffusion model, it is assumed that there is an un...This paper considers the optimal investment and premium control problem in a diffusion approxi- mation to a non-homogeneous compound Poisson process. In the nonlinear diffusion model, it is assumed that there is an unspecified monotone function describing the relationship between the safety loading of premium and the time-varying claim arrival rate. Hence, in addition to the investment control, the premium rate can be served as a control variable in the optimization problem. Specifically, the problem is investigated in two cases： （i） maximizing the expected utility of terminal wealth, and （ii） minimizing the probability of ruin respectively. In both cases, some properties of the value functions are derived, and closed-form expressions for the optimal policies and the value functions are obtained. The results show that the optimal investment policy and the optimal premium control policy are dependent on each other. Most interestingly, as an example, we show that the nonlinear diffusion model reduces to a diffusion model with a quadratic drift coefficient when the function associated with the premium rate and the claim arrival rate takes a special form. This example shows that the model of study represents a class of nonlinear stochastic control risk model.展开更多
在金融市场充满不确定因素且保险公司对金融市场表现出模糊厌恶态度的背景下,采用损失依赖保费原则进行保费收取,深入探讨了鲁棒最优再保险-投资问题。假设风险资产价格过程遵循(constant elasticity of variance,CEV)模型,以最大化保...在金融市场充满不确定因素且保险公司对金融市场表现出模糊厌恶态度的背景下,采用损失依赖保费原则进行保费收取,深入探讨了鲁棒最优再保险-投资问题。假设风险资产价格过程遵循(constant elasticity of variance,CEV)模型,以最大化保险公司终端财富的期望效用为目标,构建了相应的值函数满足(Hamilton-Jacobi-Bellman,HJB)方程。通过运用动态规划原理,成功获得了稳健最优再保险-投资策略的显式解。此外,借助数值算例,详细分析了模型参数对最优再保险-投资策略的具体影响。展开更多
基金supported by the National Natural Science Foundation of China(11571388)the MOE Project of Key Research Institute of Humanities and Social Sciences at Universities(15JJD790036)+2 种基金the 111 Project(B17050)supported by a grant from the Research Grants Council of the Hong Kong Special Administrative Region,China(Project No.HKU17329216)supported by the National Natural Science Foundation of China(11571198,11701319)
文摘This paper considers the optimal investment and premium control problem in a diffusion approxi- mation to a non-homogeneous compound Poisson process. In the nonlinear diffusion model, it is assumed that there is an unspecified monotone function describing the relationship between the safety loading of premium and the time-varying claim arrival rate. Hence, in addition to the investment control, the premium rate can be served as a control variable in the optimization problem. Specifically, the problem is investigated in two cases： （i） maximizing the expected utility of terminal wealth, and （ii） minimizing the probability of ruin respectively. In both cases, some properties of the value functions are derived, and closed-form expressions for the optimal policies and the value functions are obtained. The results show that the optimal investment policy and the optimal premium control policy are dependent on each other. Most interestingly, as an example, we show that the nonlinear diffusion model reduces to a diffusion model with a quadratic drift coefficient when the function associated with the premium rate and the claim arrival rate takes a special form. This example shows that the model of study represents a class of nonlinear stochastic control risk model.
文摘在金融市场充满不确定因素且保险公司对金融市场表现出模糊厌恶态度的背景下,采用损失依赖保费原则进行保费收取,深入探讨了鲁棒最优再保险-投资问题。假设风险资产价格过程遵循(constant elasticity of variance,CEV)模型,以最大化保险公司终端财富的期望效用为目标,构建了相应的值函数满足(Hamilton-Jacobi-Bellman,HJB)方程。通过运用动态规划原理,成功获得了稳健最优再保险-投资策略的显式解。此外,借助数值算例,详细分析了模型参数对最优再保险-投资策略的具体影响。
