| 随机利率对一类最优投资与再保险的影响 |
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| 引用本文： | 王永茂,刘素宏,石汉武. 随机利率对一类最优投资与再保险的影响[J]. 辽宁工程技术大学学报(自然科学版), 2011, 30(2): 296-299 |
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| 作者姓名： | 王永茂 刘素宏 石汉武 |
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| 作者单位： | 燕山大学理学院,河北,秦皇岛,066004 |
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| 基金项目： | 河北省教育厅基金资助项目(Z2008136) |
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| 摘 要： | 为了避免固定利率在保险实务中带来的巨大偏差,引入随机利率来推导保险公司最优投资与再保险策略,并且通过比较保险公司引入随机利率前后的最优再保险与投资策略,可以看到采用固定利率在实际计算中带来了较大偏差,从而得出采用随机利率更符合实际的结论,对保险公司进行投资有一定的参考价值。
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| 关 键 词： | 随机利率 生存概率 HJB方程 比例再保险 最优投资 |
Impact on optimal investment and reinsurance by random interest rate |
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| WANG Yongmao,LIU Suhong,SHI Hanwu. Impact on optimal investment and reinsurance by random interest rate[J]. Journal of Liaoning Technical University (Natural Science Edition), 2011, 30(2): 296-299 |
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| Authors: | WANG Yongmao LIU Suhong SHI Hanwu |
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| Affiliation: | WANG Yongmao,LIU Suhong,SHI Hanwu(College of Sciences,Yanshan University,Qinhuangdao 066004,China) |
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| Abstract: | In order to avoid the large deviation caused by fixed interest rates in insurance industry,this paper introduces a stochastic interest rate to calculate optimal investment and reinsurance strategies.In comparison on the strategies derived using a fixed interest rate and a stochastic interest rate,it shows that the investment under random interest rate is more feasible.This study provides some useful insights for insurance company's investment. |
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| Keywords: | random interest rate survival probability HJB equation proportional reinsurance optimal investment |
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