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英文标题：
《Optimal investment-reinsurance policy under a long-term perspective》
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作者：
Xiaoxiao Zheng and Xin Zhang
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最新提交年份：
2014
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英文摘要：
In this paper, we assume an insure is allowed to purchase proportional reinsurance and can invest his or her wealth into the financial market where a savings account, stocks and bonds are available. Different from classical optimal investment and reinsurance problem, this paper studies the insurer\'s long-term investment decision. Under this setting, our model consider the interest risk and the inflation risk. Specifically, we suppose the interest rate follows a stochastic process, while price index is described by a classical model. By solving Hamilton-Jacobi-Bellman equation, the closed-form expression of the optimal policy is obtained. Further, we prove the corresponding verification theorem without the usual Lipschitz condition. In the end, numerical examples are made to illustrate the difference of the optimal polices under Ho-lee model and Vasicek model.
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中文摘要：
在本文中，我们假设被保险人可以购买比例再保险，并可以将其财富投资到有储蓄账户、股票和债券的金融市场。与经典的最优投资和再保险问题不同，本文研究了保险人的长期投资决策。在此背景下，我们的模型考虑了利率风险和通货膨胀风险。具体来说，我们假设利率遵循一个随机过程，而价格指数由一个经典模型描述。通过求解Hamilton-Jacobi-Bellman方程，得到了最优策略的闭式表达式。进一步，我们证明了相应的验证定理，没有通常的Lipschitz条件。最后，通过数值算例说明了Ho-lee模型和Vasicek模型下最优策略的差异。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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