CAJ | 학술논문

研究了均值-方差标准下保险公司面临的投资与再保险最优策略问题，其盈余过程受控于一个跳-扩散模型，目的是寻找相应的时间相容性策略。假定金融市场由一个无风险资产和多个服从几何Levy过程的风险资产组成，通过求解广义HJB方程，得到了最优时间相容性投资和再保险策略的解析表达式以及最优值函数。
연구료균치-방차표준하보험공사면림적투자여재보험최우책략문제，기영여과정수공우일개도-확산모형，목적시심조상응적시간상용성책략。가정금융시장유일개무풍험자산화다개복종궤하Levy과정적풍험자산조성，통과구해엄의HJB방정，득도료최우시간상용성투자화재보험책략적해석표체식이급최우치함수。
An optimal investment and reinsurance problem for insurers under mean-variance criterion was investigated, whose surplus process is described by a more general jump-diffusion process and aims to seek the corresponding time-consistent strategy. The financial market consists of one risk-free asset and multiple risky assets whose price processes follow geometric Levy processes. The closed-form expressions for the time-consistent investment and reinsurance strate-gies and the optimal value function were derived by solving an extended Hamilton-Jacobi-Bellman equation.