Optimal Reinsurance Investment Based On CEV Model In Jump Diffusion Market

With the improvement of the financial market,it is the core content of each enterprise to avoid risks reasonably and to conduct market investment.One of the most common ways to reduce financial risk is insuring by insurance companies,so we can see that the insurance company is more and more important in today's society.However,the insurance company as a profit organization is also in the financial markets and faces many financial risks.How to reduce the risk of the insurance company and invest reasonably has become one of the most important researches in the financial field.Firstly,the paper study gradually by understanding of the insurance company's solvency ratio model.When insurance company faces financial distress cost,the insurer's solvency ratio model with a stochastic interest rate is established in fractional Brownian environment.The new risk neutral measure is obtained by using the theory of measure transformation,and the discounted value of the final return of the insurance company is obtained by using the pricing formula of the European call option in the fractional brown environment.Secondly,based on preliminary understanding of insurance companies,we study the optimal reinsurance-investment strategy of insurance companies.Based on the surplus model in the case of A-C,we use the exponential utility function and the stochastic control theory,which will make the insurance company terminal wealth maximization and obtain explicit expression of the corresponding strategy,and by using the numerical simulation method,the influence of various parameters is further analyzed.Finally,by the method of excess of loss reinsurance,we study the corresponding optimal strategy under the risk market with option and CEV model.Based on the exponential utility function and stochastic control theory,in order to maximize the wealth of insurance companies,the corresponding optimal reinsurance-investment strategy is sloved,and the relationship between the optimal strategy and the related parameters is further illustrated by the numerical model.