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Based on stock prices random pulse model reinsurance and investment insurers dynamic optimal portfolio selection

Author: FuHuanNing
Tutor: WuShuJin
School: East China Normal University
Course: Probability Theory and Mathematical Statistics
Keywords: Random pulse model Excess of loss reinsurance Proportional reinsurance Quadratic utility function Hamilton-Jacobi-Bellman (HJB) equation
CLC: F830.91;F840
Type: Master's thesis
Year: 2008
Downloads: 80
Quote: 0
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Abstract


In the financial and insurance markets studies is assumed that the movement of the stock price classical geometric Brownian motion model . However, empirical studies indicate that this is an idealized model of defects , so this market using more realistic random pulse model to characterize the risk of asset prices on the stock market when insurers need to consider both the reinsurance policy and investment strategy, how to make an optimal dynamic portfolio selection is a very complex issue. article assumes that insurers will be its reserves investment in financial markets in order to increase wealth, while insurers use reinsurance to reduce their own risk , where the financial markets and risk- risk assets include assets, risk asset prices more in line with actual market using stochastic models to characterize the pulse . using a to describe the process of controlling the risk of proliferation such dynamic hypothesis , when the target is to maximize terminate at a certain moment the wealth owned by the quadratic utility function of expectations , were obtained excess of loss reinsurance and proportional reinsurance case the insurer's reinsurance and dynamic selection of the optimal investment solutions and explicit closed solution . utilization of the explicit solution , taking into account the financial risk and insurance risk correlation between the impact on the optimal dynamic selection , do the relevant numerical results show that the financial markets risk and Insurance higher degree of market risk related to venture capital and retention levels should be lower .

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CLC: > Economic > Fiscal, monetary > Insurance > Insurance Theory
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