论文标题
最佳的人均再保险和投资，以最大程度地减少逐渐减少的可能性
Optimal per-loss reinsurance and investment to minimize the probability of drawdown
论文作者
论文摘要
在本文中，我们在风险模型中研究了具有两个依赖的保险业务类别的风险模型中的最佳再保险问题，其中两个索赔编号过程通过共同的冲击组件相关联。我们假设保险公司可以为每种业务范围购买每年的再保险，并将其盈余投资于包括无风险资产和风险资产的金融市场。在最小化缩减概率的标准下，获得了最佳再保险投资策略的闭合形式表达式和相应的价值函数。我们表明，最佳再保险策略是根据预期价值原则纯粹的过度损害再保险策略的形式，在差异溢价原则下，最佳再保险策略的形式是纯配额共享再保险的形式。此外，我们将模型扩展到保险公司涉及$ n $ $（n \ geq3）$依赖保险业务类别且最佳结果也明确得出的情况。
In this paper, we study an optimal reinsurance-investment problem in a risk model with two dependent classes of insurance business, where the two claim number processes are correlated through a common shock component. We assume that the insurer can purchase per-loss reinsurance for each line of business and invest its surplus in a financial market consisting of a risk-free asset and a risky asset. Under the criterion of minimizing the probability of drawdown, the closed-form expressions of the optimal reinsurance-investment strategy and the corresponding value function are obtained. We show that the optimal reinsurance strategy is in the form of pure excess-of-loss reinsurance strategy under the expected value principle, and under the variance premium principle, the optimal reinsurance strategy is in the form of pure quota-share reinsurance. Furthermore, we extend our model to the case where the insurance company involves $n$ $(n\geq3)$ dependent classes of insurance business and the optimal results are derived explicitly as well.
