The Optimal Investment Reinsurance Strategy For The Combined Benefits Of Insurance Company And Reinsurance Company

With the continuous growth and development of the insurance industry,how to formulate effective business strategy has become a research hotspot in the field of insurance analysis.The original operation and investment strategies are mostly formulated on the basis that the insurance company bears the risk alone.However,the insurance company usually chooses the way of risk dispersion in the actual operation process to achieve the purpose of stable operation.That is,after evaluating its own capability and risk,the insurance company signs a reinsurance contract with the reinsurance company on the basis of the original insurance contract.Under the premise of ensuring the interests of both insurance companies and reinsurance companies,how to formulate the optimal investment reinsurance strategy to maximize the joint income of both sides has important application significances.In this paper,the optimal investment reinsurance problem of the joint income is investigated for the insurance company and reinsurance company under the background of two interrelated insurance business.The main work is as follows:Construct relevant models for insurance investment analysis.Firstly,Poisson distribution is used to describe the number of claims of two interrelated insurance businesses,establish the claim amount calculation formula and give the surplus process model of insurance companies;then,based on the expected premium principle,establish the premium rate calculation model of reinsurance companies;then,consider the insurance company investing in financial markets composed of risk-free assets and risky assets,the price change models of risk-free assets and risk assets are established respectively;finally,under the agreed conditions of reinsurance contract,the joint wealth process model of insurance company and reinsurance company is established.Formulate the optimal investment reinsurance strategy under the mean-variance criterion.Firstly,under the mean-variance criterion,the optimization model of wealth expectation objective function of insurance companies and reinsurance companies is established;then,based on the optimal control principle,the extended Hamilton-JacobiBellman equations are solved to obtain the optimal investment strategy,the expression of the optimal reinsurance strategy and the optimal value function of joint income of the insurance company and the reinsurance company;finally,a numerical experiment shows the effectiveness of the conclusion.The optimal investment reinsurance strategy under the exponential utility maximization criterion.Firstly,under the exponential utility maximization criterion,the optimization model of wealth expectation objective function of insurance companies and reinsurance companies is established;then,based on the principle of dynamic programming,the existence and uniqueness of the optimal investment reinsurance strategy are proved;finally,the Hamilton-Jacobi-Bellman equation is solved to obtain the optimal investment strategy of the joint income of insurance companies and reinsurance companies,as well as the optimal reinsurance strategy expression and optimal value function,and further analyze the influence of risk asset volatility and absolute risk aversion coefficient on the optimal investment strategy and optimal reinsurance strategy.