Optimal Dynamic Portfolio Selection For Insurers Based On Solvency Requirements Under The New Insurance Law

Research in the financial markets,Generally assumed that the movement of stock prices to obey the classical geometric Brownian motion model. However, the study found that this model has obvious defects.Thus,this paper uses the random impulsive model which is more in line with the actual real stock price after verification to describe the stock price.Under the problem of optimal investment,this paper not only consider-ing the cash which should be paid to lose but also to consider the latest implementation of the Insurance Law CIRC(China Insurance Regulatory Commission) solvency requirements for insurance companies.This allows the insurance company's investment portfolio issues become more complex. A controlled diffusion risk process to describe such a dynamic system.And makes the insurance company within a certain time of the wealth owned by the quadratic utility function can achieve the desired maximum.In this case, to obtain optimal portfolio of insurance companies of funds distribution.