{"title":"神经网络再保险","authors":"Aleksandar Arandjelović, Julia Eisenberg","doi":"arxiv-2408.06168","DOIUrl":null,"url":null,"abstract":"We consider an insurance company which faces financial risk in the form of\ninsurance claims and market-dependent surplus fluctuations. The company aims to\nsimultaneously control its terminal wealth (e.g. at the end of an accounting\nperiod) and the ruin probability in a finite time interval by purchasing\nreinsurance. The target functional is given by the expected utility of terminal\nwealth perturbed by a modified Gerber-Shiu penalty function. We solve the\nproblem of finding the optimal reinsurance strategy and the corresponding\nmaximal target functional via neural networks. The procedure is illustrated by\na numerical example, where the surplus process is given by a Cram\\'er-Lundberg\nmodel perturbed by a mean-reverting Ornstein-Uhlenbeck process.","PeriodicalId":501128,"journal":{"name":"arXiv - QuantFin - Risk Management","volume":"22 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Reinsurance with neural networks\",\"authors\":\"Aleksandar Arandjelović, Julia Eisenberg\",\"doi\":\"arxiv-2408.06168\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We consider an insurance company which faces financial risk in the form of\\ninsurance claims and market-dependent surplus fluctuations. The company aims to\\nsimultaneously control its terminal wealth (e.g. at the end of an accounting\\nperiod) and the ruin probability in a finite time interval by purchasing\\nreinsurance. The target functional is given by the expected utility of terminal\\nwealth perturbed by a modified Gerber-Shiu penalty function. We solve the\\nproblem of finding the optimal reinsurance strategy and the corresponding\\nmaximal target functional via neural networks. The procedure is illustrated by\\na numerical example, where the surplus process is given by a Cram\\\\'er-Lundberg\\nmodel perturbed by a mean-reverting Ornstein-Uhlenbeck process.\",\"PeriodicalId\":501128,\"journal\":{\"name\":\"arXiv - QuantFin - Risk Management\",\"volume\":\"22 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-08-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - Risk Management\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2408.06168\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Risk Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2408.06168","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
We consider an insurance company which faces financial risk in the form of
insurance claims and market-dependent surplus fluctuations. The company aims to
simultaneously control its terminal wealth (e.g. at the end of an accounting
period) and the ruin probability in a finite time interval by purchasing
reinsurance. The target functional is given by the expected utility of terminal
wealth perturbed by a modified Gerber-Shiu penalty function. We solve the
problem of finding the optimal reinsurance strategy and the corresponding
maximal target functional via neural networks. The procedure is illustrated by
a numerical example, where the surplus process is given by a Cram\'er-Lundberg
model perturbed by a mean-reverting Ornstein-Uhlenbeck process.