The Optimal Investment-reinsurance Strategy Of Insurance Company For Catastrophe Compensation

As the catastrophe has intensified,the catastrophe risk has become a major factor affecting human development and social progress.China has mentioned in the No.1 Document of the Central Committee for several consecutive years that it should establish a catastrophe insurance system as soon as possible.Since then,catastrophe insurance has begun to be piloted.The catastrophe insurance in the pilot has played an important role in post-disaster relief,but there are also problems that need to be solved urgently.Since the way of catastrophe relief in China in the past was mainly financial allocations and social donations,the insurance payment after the disaster was very small.Compared with the internationally successful catastrophe insurance,China's catastrophe insurance is still in the early stage of development,facing huge compensation risks and investment risk.In order to effectively spread and control these two risks,it is very important for insurance companies to develop appropriate reinsurance and investment strategies.Optimal investment and reinsurance research is one of the hotspots of insurance actuarial research in recent years.In order to enhance the competitiveness of enterprises,on the one hand,insurance companies invest in the financial market to obtain income,in order to improve the company's solvency and company benefits;on the other hand,in order to reduce the risk of large claims,insurance companies to split some premiums to buy reinsurance.Reinsurance can make the risk apportion between the original insurance company and the reinsurance company,which not only can improve the efficiency of insurance business,but also improve the operational stability of the insurance company and realize the sharing of benefits and risk sharing among insurance companies.Studying the optimal investment and reinsurance strategy of catastrophe insurance not only has important practical significance for the stable operation of insurance companies,but also provides reference for China to accelerate the development of catastrophe insurance system.It is of great significance to alleviating the pressure of financial assistance at all levels in China and increasing the vitality of the development of the insurance market.In order to solve the problem of catastrophe insurance facing excessive risk and low investment income,this paper will study the catastrophe insurance optimal investment-reinsurance strategy under the goal of minimizing ruin probability,which will be carried out from the following parts: The first part is an estimate of the catastrophe loss.Using the POT model to fit the economic loss data of earthquake catastrophe,use the generalized Pareto distribution to describe the catastrophe loss,and lay the foundation for the later research.The second part constructs the surplus process of catastrophe insurance.Establish a surplus process for catastrophe insurance business with interference items,and consider purchasing excess loss reinsurance and post-investment conditions,and obtain a surplus process with reinsurance and investment strategies.The third part solves the optimal investment-reinsurance strategy under the goal of minimum ruin probability.Using the updated risk model to solve the catastrophe ruin probability under the catastrophe large claim,the HJB equation is used to obtain the optimal investment under the minimum ruin probability.The explicit solution of the reinsurance strategy,and finally the sensitivity analysis of the influencing factors of the impact strategy.