Optimal Proportional Reinsurance And Investment Strategy Under Mean Square Error Risk Meansure

As rapid economic development in contemporary society, the insurance industry is also undergoing tremendous change, the development of reinsurance for the stability of insurance market and financial market plays a very important role. Therefore, the future of China's insurance market in order to achieve significant development, we must attach importance to study reinsurance. Moreover in the trend of financial globalization, the insurance investment is not only an inherent requirement of insurance companies, but also the insurance industry response to changes in the external financial environment. No early release from our insurance investment policies to the latest release, insurance investment has already experienced more than two decades, during development time, we accumulate a lot of valuable investment experience, but there are still many problems to be solved need, and these problems largely limit the development of the insurance industry.This article is considering the insurance company can not only purchase the reinsurance to reduce the risk of reinsurance, but also invest some of the surplus funds in accordance with the requirements of the law to the capital markets. In this paper includes two aspects: the first part of the consideration of a single optimal proportional reinsurance, the use of the classical Cramer-Lundberg model to simulate the insurance company's surplus process, find the optimal reinsurance strategy .The second part is based on the model of the first part by adding investment, the establishment of containing the optimal investment in reinsurance and investment model; we also get the analytical solutions of optimal reinsurance-investment strategies and effective expression of the border. In this section we give full consideration to China's national conditions, we do not permit short selling of assets.Finally, under the reinsurance investment strategy and the analytical expression, we analyze the various variables on the impact of the optimal strategy. The optimal ratio of reinsurance and the optimal investment ratio and optimal reinsurance ratio is precisely opposite. And through analysis of each variable effect on the optimal strategy, we give the real economic significance to the insurance company.