Research On Optimal Investment And Reinsurance Strategies With Internal Information

Investment-reinsurance is an important research content in the field of insurance fund investment.Studying and solving the investment-reinsurance problem under different investment environments can not only enrich and develop the theory of insurance investment,but also provide theoretical basis for insurance companies to increase profits and reduce insurance risks,which has an important theoreticall and practical significance.In the actual investment environment,the interest rate and volatility in the financial market change randomly.At the same time,insurance companies can also obtain the internal market information to reduce insurance risks and investment risks.Therefore,this paper mainly studies the investment-reinsurance issue from the above two aspects.The main work is as follows:Firstly,this paper assumes that the short-term interest rate in the financial market is subject to the stochastic affine interest rate model,and there are three assets in the financial market,namely cash,zero-coupon bonds and stocks,which can be continuously traded.Insurance companies need to find an optimal reinsurance and investment strategy to maximize the expected utility of their terminal wealth.Using stochastic optimal control theory,we obtain explicit solutions for the optimal investment and reinsurance strategies.The influence of main model parameters on the optimal investment and reinsurance strategy is analyzed by numerical examples.The results show that the interest rate has a great influence on the optimal investment-reinsurance strategy.Secondly,it is assumed that the financial market includes risk-free assets and stocks,in which the stock price is depicted by the Heston's stochastic volatility model.Insurance companies can reduce investment risk by obtaining some internal information during the trading period,at the same time,they can also purchase proportional reinsurance from reinsurance companies to reduce the insurance risk.This paper describes the investment-reinsurance strategy of an insurance company with internal market information,and then use the stochastic optimal control theory to study the investment-reinsurance problem with internal market information,and obtains the explicit solution of the optimal investment and reinsurance strategy.The results show that the internal market information has a great influence on the optimal reinsurance strategy of insurance companies.