Investement And Reinsurance Under Two Kinds Of Risk Assets

With the growth of economic conditions,China's insurance market has become active,and investment and reinsurance issues have become very popular in the financial research at present.The purpose of the underwriter is to obtain the maximum profit,so how to develop the optimal strategy has become an indispensable topic in the insurance industry,In order to meet the needs of the actual financial environment,this thesis studies the investment and reinsurance problems in which the prices of two kinds of risky assets are subject to two kinds of stochastic volatility models.Firstly,under the condition that the two risky asset price processes satisfy the Heston SV model,research that the insurer invests the wealth into the investment and reinsurance problem of a risk-free asset and two risky assets.For the uncertainty of the model,the continuous probability measure equivalent to the probability measure is used to replace the uncertainty.By means of the exponential utility function,the stochastic control problem is transformed into the HJB equation,and the conclusion that the solution of the HJB equation is the optimal result of the stochastic control problem is obtained through the verification theorem,and the strategy obtained is the optimal strategy.Through the numerical simulation of the model parameters and uncertainties,the relationship between the parameters such as the coefficient of risk aversion and the optimal strategy is obtained through the analysis of the simulation results.Secondly,under the condition that the price processes of the two risky assets satisfy the CIR model,research that the insurer invests the wealth in the investment and reinsurance of a risk-free asset and two risky assets.For the uncertainty of the model,the continuous probability measure equivalent to the probability measure is used to replace the uncertainty.Considering the stochastic volatility of risk asset prices,the problem related to mean value and variance is transformed into a stochastic control problem.BSDE related to investment and reinsurance problems is obtained by applying BSDE method,and the conclusion that the solution of BSDE is the optimal strategy is obtained by means of the verification theorem.Through the numerical simulation of the model parameters and uncertainties,the conclusion obtained from the analysis of the simulation results is consistent with the Heston SV model.