| Due to the uncertainty of the market environment,the scope and type of insurance business and premiums of insurance companies will increase with the magnitude of market volatility.On the one hand,the increase in premiums and the principle of maximizing the interests of companies will promote the expansion of insurance companies’ use of premiums,and will increase investment in financial markets and bond markets;On the other hand,with the increase in the scope and types of insurance business,the risks of some businesses exceed the scope of insurance companies,and the demand for reinsurance business by insurance companies in order to avoid risks will also increase.This requires studying the optimal reinsurance-investment strategy of insurance companies.Firstly,we consider that under the minimum performance guarantee,insurers can invest in three types of assets in the financial markets:risk-free assets,inflation-indexed bonds,and risky assets.Considering the random volatility of the market,under the utility function of CARA(Constant Absolute Risk Aversion),dynamic programming is used to find the optimal investment and reinsurance strategy,and the influence of relevant parameters on the optimal investment and reinsurance ratio is discussed by numerical simulation.Secondly,we study the optimal reinsurance-investment strategies of insurance companies and reinsurers whose risk asset prices follow the Heston model and aim to maximize the common interests of insurance companies and reinsurance companies in the financial market environment considering bond default.For the CARA utility function,the corresponding HJB(Hamilton-Jacob-Bellman)equations were established before and after default,and in the end we analyze the influence of relevant parameters on the optimal reinsurance-investment decision of the two companies.Finally,we summarize the entire article and make prospects for the future. |
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