Abstract
The reinsurance and investment portfolio of insurance companies has always been a hot issue in insurance business. In insurance practice, it is inevitable for insurance companies to invest their own funds in order to expand their capital scale and enhance market competitiveness so as to obtain greater returns. At the same time, in order for insurance companies to disperse insurance risks and to avoid too concentrated claims or catastrophes caused by failure to perform compensation responsibilities, the purchase of reinsurance business has also become an important way. Stochastic control theory is widely used in reinsurance and investment issues. Based on the reinsurance system architecture, this paper establishes a reinsurance delay risk investment model, which reduces the amount of claims to be borne by buying proportional reinsurance to avoid bankruptcy caused by the excessive amount of claims. By using the delayed venture capital model to describe the earnings of insurance companies, the optimal investment and reinsurance strategy are solved under the optimization criterion of minimizing the probability of bankruptcy. By analyzing the model parameter data, the influence of each parameter on optimal investment strategy and optimal reinsurance strategy is discussed.
Highlights
IntroductionWith the continuous improvement of people’s living standards, the insurance industry has developed vigorously
With the continuous improvement of people’s living standards, the insurance industry has developed vigorously.e types of insurance products are derived from the initial marine insurance, fire insurance, life insurance, liability insurance, and other kinds of insurance
The study of the theory of risk has obtained many important results and conclusions, the actual market is too complex, not enough thoughtful scholars when doing the research, such as the lack of considering the risk-free asset, only single risky asset price process being studied, and the optimal control strategy with the claims process model, and so on. erefore, when we study the optimal investment and reinsurance strategy of insurance companies, we should focus on the actual situation of the financial market to establish the model and use stochastic control and stochastic analysis methods to get the corresponding optimal control strategy
Summary
With the continuous improvement of people’s living standards, the insurance industry has developed vigorously. E detailed introduction of reinsurance strategy enables insurance companies to ensure excess returns, fully disperse catastrophe risks, and enhance business initiative. How to arrange the investment portfolio to reduce the investment risk and obtain stable and rich investment return is another problem that insurance companies need to pay attention to. In the management of insurance companies, in order to reduce their own risks and avoid bankruptcy cases where huge accidents cannot be fulfilled due to the concentration of claim risk, insurance companies bear part of the risks and liabilities and reinsurance to other insurers. Insurance companies effectively control risk investment and reinsurance strategies to maximize the utility of the company’s expected wealth or minimize the probability of bankruptcy which has become an important research topic. The reinsurance system establishes the reinsurance delay risk investment model and obtains the optimal investment and reinsurance strategy. e influence of each parameter on optimal investment strategy and optimal reinsurance strategy is discussed
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