Research On Balanced Investment And Reinsurance Strategies Under Heston Model

With the development of the economy,insurance companies and related industries are paying more and more attention to the problems of investment and reinsurance.It has also become a subject for many scholars.In this thesis,we consider that the price pro-cess of risky assets is described by Heston's stochastic volatility model.We base on the Game Theory and HJB equation to study the problems of investment and reinsurance under mean-variance criterion.Firstly,the proportional reinsurance and investment problems of insurance companies and reinsurance companies are discussed in the diffusion risk model,we get the equilibrium strategies of proportional reinsurance and investment.Secondly,we discuss the investment and excess-loss reinsurance problems of insurance companies in the compound Poisson risk model,we obtain the self-retention of excess-loss reinsurance and equilibrium investment strategy.Thirdly,two types of dependent compound Poisson risk models are discussed.we study the proportional reinsurance and investment problems of insurance companies,and give the equilibrium control strategy and the equilibrium value function.Some numerical examples are shown in the above problems and the impact of certain parameters on the equilibrium investment and reinsurance strategies are analyzed.