投资连结型寿险的初始准备金和定价

利用VaR思想并根据保险人风险收益,在初始准备金收益率固定或随机的情况下,讨论了具有养老金性质的投资连结保单的初始准备金和定价,并进行了模拟计算.     

On optimal proportional reinsurance and investment in a Markovian regime-switching economy

In this paper, the surplus of an insurance company is modeled by a Markovian regimeswitching diffusion process. The insurer decides the proportional reinsurance and investment so as to increase revenue. The regime-switching economy consists of a fixed interest security and several risky shares. The optimal proportional reinsurance and investment strategies with no short-selling constraints for maximizing an exponential utility on terminal wealth are obtained.     

On a risk model with Markovian arrivals and tax

A risk model with Markovian arrivals and tax payments is considered.When the insurer is in a profitable situation,the insurer may pay a certain proportion of the premium income as tax payments. First,t...     

The optimal policy for insurance company under consideration of internal competition and the time value of ruin

This paper considers the dividend optimization problem for an insurance company under the consideration of internal competition between different units inside the company. The objective is to find a reinsurance policy and a dividend payment scheme so as to maximize the expected discounted value of the dividend payment, and the expected present value of an amount which the insurer earns until the time of ruin. By solving the corresponding constrained Hamilton-Jacobi-Bellman （HJB） equation, we obtain the value function and the optimal reinsurance policy and dividend payment.     

保险人最优投资行为分析

本文在假设索赔次数服从Poisson分布的情况下,利用所收保费与赔付费用的差额,直接考虑承保风险,建立保险基金投资模型,求出最优投资比例关于投保人数等变量的显式表示,分析投资在风险资产上的比例与投保人数等外生变量间的关系,对保险人进行保费投资和根据市场变化调整投资比例有重要的理论和实践意义.     

保险代理中的激励机制设计与分析

本文应用委托代理模型讨论了保险市场中的保险人与保险代理人之间的激励机制设计问题.在外生环境服从随机服务系统的次数分布（Poisson分布）的条件下,讨论了保险代理人有固定收入和没有固定收入条件下的激励合同的设计,得出了一些有参考价值的结论.