再保险-投资的M -V及M -VaR最优策略

王海燕1; 彭大衡2

再保险-投资的M -V及M -VaR最优策略

引用本文：王海燕1，彭大衡2.再保险-投资的M -V及M -VaR最优策略[J].经济数学,2011,(3):71-76

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作者	单位
王海燕1，彭大衡2	（1.广东商学院数学与计算科学学院，2.广东商学院金融学院，广州 510320）

中文摘要:考虑保险公司再保险-投资问题在均值-方差（M -V）模型和均值-在险价值（M -VaR）模型下的最优常数再调整策略.在保险公司盈余过程服从扩散过程的假设及多风险资产的Black -Scholes市场条件下，分别得到均值-方差模型和均值-在险价值模型下保险公司再保险-投资问题的最优常数再调整策略及其有效前沿，并就两种模型下的结果进行了比较.

中文关键词:再保险-投资均值-方差模型均值-在险价值模型常数再调整策略

Optimal Reinsurance -investment Strategies under M -V and M -VaR Models

Abstract:Optimal constant rebalance strategies under Mean -variance and Mean -VaR models were considered. Under the assumption that claim process of an insurance company follows diffusion process, optimal constant rebalance strategies and the corresponding effective frontier under Mean -variance and Mean -VaR models were obtained, respectively, for reinsurance -investment problem in Black -Scholes market with multiple risky assets.The results under Mean -variance and Mean -VaR models were compared with each other.

keywords:reinsurance -investment mean -variance model mean -VaR model constant rebalance strategy

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