Optimal Reinsurance And Investment Problems Of Two Types Of Risk Models

In this paper,we propose a diffusion risk model with two reinsurers and investments,and we study the optimal decision of reinsurance and plow back in two different risk models without putting transaction fee and dividends into consideration.Based on the variance premium principle,the paper studies the risk reimbursement of the two reinsurance companies,and the action that the insurance companies invest the surplus in proportion to the risk market and the riskless market.What is more,the paper also discusses the inflation risk of long-term investment,and the optimal reinsurance and investment problems with the help of the maximization of expected utility.In this paper,the first chapter introduces the background and significance of the research,some basic concepts of risk theory,and the main work of this paper.The second chapter studies the optimal reinsurance and investment problem in two reinsurance companies under the diffusion risk model.With the help of the variance premium principle,the optimal reinsurance and investment strategy ex-plicit expression under the minimum ruin probability is obtained.The sensitivity of the relevant parameters to the optimal strategy is described.In the third chap-ter,the paper studies the risk model with inflation risk and the risk ratio of the two insurance companies,and puts forward that the inflation risk could be solved by discounting the risk assets.By setting the terminal wealth expectation utility as the objective function,the optimal reinsurance and investment strategy expres-sion is obtained with the help of the risk control theory.Besides,the sensitivity of the relevant parameters to the optimal reinsurance and investment is analyzed.The fourth chapter introduces the shortcomings of this article and the future study.