| Most of the risk theory models are classical risk model in early studies.More and more risk models developed after that axe based on classical risk model.In the real insurance mar-ket,it is usually very hard for an insurance company to pay the customer's insurance claim only by using a premium to make a profit.Along with the increasingly fierce competition between many insurance companies,the insurance company on the market investment of surplus funds control becomes an important aspect of sources of income,and the insurance company will use reinsurance contracts to reduce the insured by the insurance company of the risk in the daily operation.In order to describe the risk process of financial market more accurately,one of the research directions is to use the risk model with jump and diffusion to characterize the market surplus.This paper is concerned with how to invest the market surplus of insurance companies in financial market in the jump diffusion risk model,and how to choose optimal assets under the condition of buying proportional reinsurance simultaneously.On the basis of the current model and based on the variance constraint,it is construeted to become an optimal asset selection probloem based on the jump diffusion risk model.This is a more expansion with.jump diffusion risk proeess,which is closer to the insurance market in reality.Our mainly studied in this paper is using the dynamic programming principle of stochas-tic control theory in the investment and reinsurance strategy,the maximum expected utility function satisfies the HJB reqnation.We prove the existence of solutions about the II J B equation,the optimal reinsuraince and invrestiment strategy under the aexpected index utility,and the pression of the highest expectations the utility value of a function.Finally,we get some parameters related to the optimal investment strategy by numerical simulation which proves that the conclnsion is consistent with the actual situation of the insiurance company. |
PDF Full Text Request