Investment Strategy Research Of The Nonclassical Risk Models

Along with the improvement and perfection of China's insurance business,com-petition is increasingly fierce and the insurance company is playing an increasingly important role in the financial sector.Insurance companies want to profit have to rely on the insurance investment.For insurance companies,under the condition of the ruin probability with minimum,scientific and rational investment for insurance funds can effectively disperse risk and stability of earnings,it is a very important research subject for the investment of insurance funds.The ruin probability of traditional research is based on the C-L risk model.Many of the nonclassical risk models can better describe the insurance operational reality in recent years.This paper aims at two types of nonclassical risk models:premium random multiple risk model and delayed claim risk model.By using stochastic analy-sis method,reinsurance strategy and risk investment strategy,the Hamilton-Jacobi-Bellman equation is constructed,and the optimal investment strategy is obtained under the minimization of ruin probability.The main work and innovation of this paper can be summarized as follows:1.Considering the premium random risk of multiple risk model,the distribution function is not easy to be obtained under the hypothetical condition.Through the characteristic function method,the risk process transformed into a compound Pois-son process,which is convenient for the later study of the optimal control problem.2.According to the actual situation of the insurance company,we consider a percentage of total assets to invest two parts,one part of the investment to the risk in the market,and the rest part of the investment to the risk free market;3.Considering the investment strategy of the delay claim risk model.First-ly,through the diffusion approximation thought,the surplus process approximated into a Brownian motion under certain conditions.On this basis,by reinsurance control and venture capital investment,the optimal investment strategy and the corresponding minimum ruin probability is obtained.The conclusion is a good guide for the insurance company.