Research on Optimal Investment Reinsurance of Insurance Companies under Delayed Risk Model

Xiao Yun; Qiu Zhijian

首页> 外文期刊>Mathematical Problems in Engineering: Theory, Methods and Applications >Research on Optimal Investment Reinsurance of Insurance Companies under Delayed Risk Model

【24h】

Research on Optimal Investment Reinsurance of Insurance Companies under Delayed Risk Model

机译：Research on Optimal Investment Reinsurance of Insurance Companies under Delayed Risk Model

获取原文

获取原文并翻译 | 示例

掌桥外文数据库（机构版） >>

开具论文收录证明 >>

文献代查 >>

页面导航

摘要
著录项
相关主题

摘要

The reinsurance and investment portfolio of insurance companies has always been a hot issue in insurance business. In insurance practice, it is inevitable for insurance companies to invest their own funds in order to expand their capital scale and enhance market competitiveness so as to obtain greater returns. At the same time, in order for insurance companies to disperse insurance risks and to avoid too concentrated claims or catastrophes caused by failure to perform compensation responsibilities, the purchase of reinsurance business has also become an important way. Stochastic control theory is widely used in reinsurance and investment issues. Based on the reinsurance system architecture, this paper establishes a reinsurance delay risk investment model, which reduces the amount of claims to be borne by buying proportional reinsurance to avoid bankruptcy caused by the excessive amount of claims. By using the delayed venture capital model to describe the earnings of insurance companies, the optimal investment and reinsurance strategy are solved under the optimization criterion of minimizing the probability of bankruptcy. By analyzing the model parameter data, the influence of each parameter on optimal investment strategy and optimal reinsurance strategy is discussed.

著录项

来源
《Mathematical Problems in Engineering: Theory, Methods and Applications》 |2021年第52期|9287659.1-9287659.10|共10页
作者
Xiao Yun; Qiu Zhijian;
展开▼
作者单位

Southwestern Univ Finance & Econ, Sch Econ Math, Chengdu 610000, Sichuan, Peoples R China|Yibin Univ, Sch Math, Yibin 644007, Sichuan, Peoples R China;

Southwestern Univ Finance & Econ, Sch Econ Math, Chengdu 610000, Sichuan, Peoples R China;

展开▼
收录信息
原文格式 PDF
正文语种英语
中图分类
关键词

Research on Optimal Investment Reinsurance of Insurance Companies under Delayed Risk Model

摘要

著录项

相关主题

期刊订阅