The Problem Of Optimal Reinsurance Investment Based On CEV Model In Inflation Enviroment

In order to ensure the normal operation of the company,the insurance company also needs to invest in the earnings effectively to ensure the normal operation of the company and maximize the value of the shareholders.Therefore,insurers usually need to consider how to add value to their own funds through direct investment,so that they can have sufficient capital reserves in the face of compensation,and can maximize shareholder value by paying dividends.With the development of the insurance industry in China,it is necessary to consider reinsurance to control the risks to be taken by insurance companies.In recent years,the optimal reinsurance-investment problem has become an important research topic.In the real financial market,inflation has become an inevitable factor,which has an important impact on the insurer's reinsurance-investment.In this paper,the optimal reinsurance-investment problem of the underwriters in the CEV model is considered.This paper discusses the choice of optimal reinsurance-investment strategy for dividend payment.Specifically,there are:1.The wealth process is composed of three parts:reinsurance surplus,risk-free assets and risk assets discounted by inflation.The optimal reinsurance and investment strategy is solved by using excess loss reinsurance and investment method.2.Considering the optimal reinsurance-investment problem based on CEV model,the excess loss reinsurance strategy is adopted to maximize the terminal wealth.3.Considering the maximization of shareholder value in the case of dividend payment,the value function of the accumulative dividend discounted is established,and the form of its solution is given.4.Through numerical simulation,the influence of the model parameters on the optimal strategy is given.