摘要
为了避免固定利率在保险实务中带来的巨大偏差,引入随机利率来推导保险公司最优投资与再保险策略,并且通过比较保险公司引入随机利率前后的最优再保险与投资策略,可以看到采用固定利率在实际计算中带来了较大偏差,从而得出采用随机利率更符合实际的结论,对保险公司进行投资有一定的参考价值。
In order to avoid the large deviation caused by fixed interest rates in insurance industry,this paper introduces a stochastic interest rate to calculate optimal investment and reinsurance strategies.In comparison on the strategies derived using a fixed interest rate and a stochastic interest rate,it shows that the investment under random interest rate is more feasible.This study provides some useful insights for insurance company＇s investment.
出处
《辽宁工程技术大学学报（自然科学版）》
CAS
北大核心
2011年第2期296-299,共4页
Journal of Liaoning Technical University (Natural Science)
基金
河北省教育厅基金资助项目(Z2008136)
关键词
随机利率
生存概率
HJB方程
比例再保险
最优投资
random interest rate
survival probability
HJB equation
proportional reinsurance
optimal investment
