OPTIMAL INVESTMENT AND PROPORTIONAL REINSURANCE IN THE SPARRE ANDERSEN MODEL

作     者：Zhibin LIANG Junyi GUO Zhibin LIANG;Junyi GUO

作者机构：School of Mathematical SciencesNanjing Normal University School of Mathematical SciencesNankai University 

出 版 物：《Journal of Systems Science & Complexity》 (系统科学与复杂性学报（英文版）)

年 卷 期：2012年第25卷第5期

页      面：926-941页

核心收录：

学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 1204[管理学-公共管理] 020204[经济学-金融学（含∶保险学）] 07[理学] 070102[理学-计算数学] 120404[管理学-社会保障] 0701[理学-数学] 

基　　金：supported by the National Natural Science Foundation of China under Grant No.11101215 the Natural Science Foundation of the Jiangsu Higher Education Institutions of China under Grant No. 09KJB110004 

主　　题：Adjustment coefficient investment proportional reinsurance ruin probability SparreAndersen model. 

摘      要：From the insurer＇s point of view, this paper studies the optimal investment and proportional reinsurance in the Sparre Andersen model. Under the criterion of maximizing the adjustment coefficient, the authors obtain the closed form expressions of the optimal strategy and the maximal adjustment coefficient, and derive the explicit expression of the ruin probability or its lower bound when the claim sizes are exponentially distributed. Some numerical examples are presented, which show the impact of model parameters on the optimal values. It can also be seen that the optimal strategy to maximize the adjustment coefficient is sometimes equivalent to those which minimize the ruin probability.