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| 摘要: |
| 本文研究了在相依风险模型的框架下保险公司的最优投资和再保险问题.在均值方差准则下，利用博弈论的相关理论，求解扩展的HJB方程系统，得到最优时间一致的投资和再保险策略以及相应的最优值函数，并通过数值例子展现模型参数对最优策略的影响. |
| 关键词: 均衡策略 HJB方程 均值方差准则 比例再保险 |
| DOI： |
| 分类号:O211.6;O29 |
| 基金项目:Supported by the National Natural Science Foundation of China (11201111; 11471218). |
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| OPTIMAL TIME-CONSISTENT INVESTMENT AND REINSURANCE STRATEGIES FOR MEAN-VARIANCE INSURER UNDER THE DEPENDENT RISK MODEL |
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LIU Sheng-wang,LI Bing
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| Abstract: |
| In this paper, we study the optimal investment-reinsurance problem in a risk model with two dependent classes of insurance business. Under the criterion of mean-variance, we aim to seek the corresponding time-consistent strategies within a game theoretic framework. By solving an extended Hamilton-Jacobi-Bellman system, the closed-form expressions of the optimal time-consistent investment-reinsurance strategies and the optimal value function are derived. Finally, some numerical illustrations are presented to show the impact of model parameters on the optimal strategies. |
| Key words: equilibrium strategy Hamilton-Jacobi-Bellman equation mean-variance criterion proportional reinsurance |
