Optimal Investment And Reinsurance Strategies

In rensent yeas,the optimal insurance and reinsurance has become one of hot issues of finance,which not only enriches the theory and development of modern financial theory,but also to communicate the mathematics and fiance,insuranc,promote the development of mathmatics.This paper focuses on analysis the optimal invesment and resurance model at micro level,it analysis the company purchase or sell one party of insurance in details in order to earn more money,it analysis the benefits and risks of finaccial exchange and transger process to achieve the optimal investment and reinsurance.we main study how to obtain higher porfit and bear lower risk.This paper is organized as follows:Firstly, the background of this thesis is introduced. Then the basic theories about interest rate,risk decision thory,premium principles and the basic methods of reinsurance are also introduced.Secondly,optimal reinsurance under new risk measure is introduced,which gives the concrete reinsurance function within the restricted class of admissible contracts.Bcause the fix interest have take large deviation,this paper discussed the optimal investment and reinsurance in random interest, then it compared with the strategies whice in fixed interest,and get the conclusion that the investment under random interest rate is more feasible.Next we condition bonus in the former model,and calculate the optimal investment and reinsurance strategies.Finally,we condition if someone have maked errors decision,he or she will generated regret,we study how to minimize his regret psychological.In this paper,we perfect the model step by step,from reinsurance to the condition of risk and risk-free reinsurance,to the end of optimal investment and reinsurance which have bonus,each chapter has established a mathematical model,and calculate the optimal policy by solving the corresponding HJB equation.