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引用次数: 0
摘要
本文研究了基于阿尔法稳健均值方差准则的保险公司时间一致性再保险和投资策略。我们假设在由一种无风险资产和 n 种风险资产组成的金融市场中存在二次型交易成本,且保险市场和金融市场是相关的。通过求解扩展 HJB 方程系统,可以根据矩阵 Riccati 方程系统的解推导出均衡再保险和投资策略以及相应的价值函数。在某些特殊情况下,均衡策略和价值函数的表达更为明确。数值示例表明,随着交易成本水平或相关系数的增加,投资增长率会放缓。此外,我们还发现交易成本水平对忽略跳跃或模糊性所造成的效用损失具有相反的影响。
Alpha-robust mean–variance reinsurance and investment strategies with transaction costs
This paper investigates the time-consistent reinsurance and investment strategies for insurers based on the alpha-robust mean–variance criterion. We assume that transaction costs with quadratic form exist in the financial market composed of a risk-free asset and risky assets, and the insurance and financial markets are correlated. By solving a system of extended HJB equations, the equilibrium reinsurance and investment strategy and the corresponding value function are derived in terms of the solution to a system of matrix Riccati equations. In some special cases, more explicit expressions for the equilibrium strategies and value functions are provided. Numerical examples demonstrate that the growth rate of investment slows down as the transaction costs level or the correlation coefficient increases. In addition, we find that the transaction costs level has opposite effects on the utility losses due to ignoring jumps or ambiguity.
期刊介绍:
The Journal of Computational and Applied Mathematics publishes original papers of high scientific value in all areas of computational and applied mathematics. The main interest of the Journal is in papers that describe and analyze new computational techniques for solving scientific or engineering problems. Also the improved analysis, including the effectiveness and applicability, of existing methods and algorithms is of importance. The computational efficiency (e.g. the convergence, stability, accuracy, ...) should be proved and illustrated by nontrivial numerical examples. Papers describing only variants of existing methods, without adding significant new computational properties are not of interest.
The audience consists of: applied mathematicians, numerical analysts, computational scientists and engineers.