|
| 摘要: |
| 本文研究了具有再保险和投资的随机微分博弈.应用线性-二次控制的理论,在指数效用和幂效用下,求得了最优再保险策略、最优投资策略、最优市场策略和值函数的显示解,推广了文[8]的结果.通过本文的研究,当市场出现最坏的情况时,可以指导保险公司选择恰当的再保险和投资策略使自身所获得的财富最大化. |
| 关键词: 随机微分博弈 线性-二次控制 指数效用 幂效用 |
| DOI： |
| 分类号:O225 |
| 基金项目:国家自然科学资助(11271375);西京学院校级科研项目资助(XJ120106;XJ120109;XJ130246). |
|
| STOCHASTIC DIFFERENTIAL GAMES WITH REINSURANCE AND INVESTMENT |
|
YANG Peng
|
| Abstract: |
| This paper investigates a stochastic differential games problem with reinsurance and investment.Under exponential utility and power utility,by using linear-quadratic control theory,we obtain optimal reinsurance strategies,investment strategies and optimal market strategies as well as the value function closed form expressions.We generalize the results of paper[8].Through this research when the market is worst,we can guide insurance company to select the appropriate reinsurance and investment strategies to maximize his wealth. |
| Key words: stochastic differential games linear-quadratic control exponential utility power utility |
