Risk Analysis And Control In Insurance

This paper using the stochastic theory, HJB equation, Copula theory, the optimaldecision theory and other mathematical tools, from the view of risk in insurance, studiesthe asset risk and premium pricing risk and analyses the classical risk model, theinvestment strategy of the model meeting that the objective function is that the investmentincome is greater than zero and the objective function is minimizing the deviation betweenthe total revenue and the initial capital, and variance premium pricing model based on theCopula function.Based on the classical risk model, the paper introducing time change and disturbanceinto the classical risk model, using stochastic theory and Poisson theory, obtains the riskmodel of random premium rate and the risk model of random premium rate withinterference.Using the HJB equation, the paper studies the problems of how the insurancecompany invest the risk asset into the securities industry and determining the optimalinvestment strategy meeting the decision goals. The paper studies the different risks ofcompany bonds and a riskless bond, inherites the way determining risk price of theinsurance company in the investment process, overcomes the limitations of onlyconsidering a risky asset and a riskless asset. The model considering the intensity of claimarrival and the fluctuations of risk bond price, at the same time, hypothesis the return rateof premium is not a fixed constant level, which is more realistic than don’t consideredchanges in yield, but also accords with the general law of insurance company managementprocess.With the proposed and continuous improvement of Copula theory, there are more andmore researchers using Copula theory to measure the risk of financial assets. Since then,the Copula theory has been widely used on asset pricing, financial risk analysis. Thispaper based on traditional variance principle, using the Copula function, proposing therisk average possession, proposes a mean variance risk premium pricing model of acombination risks, solves the problems of how to reasonably use the Copula function to the proper pricing of premium when there are a lot of risks in insurance business and anumber of investment, and extends the classic "variance principle" from the individualrisk to the portfolio risk pricing.