保险赔付中的最优对冲策略

本文对带有付费过程$A_t$的保险公司在金融市场$(S_t,Q_t,B_t)$上通过购买股票$S_t$、兑换外币$Q_t$以及购买无风险资产$B_t$的投资过程而采取的最优投资策略, 使保险公司所面临的风险最小进行探讨. 利用Galtchouk-Kunita-Watanabe分解定理将风险表达式重新表达, 从而找到保险公司所能采取的风险最小的最优对冲策略. 文中举出一个具有现实性意义的例子将文章的重要结论加以应用, 使本文更具有应用价值.

The Hedging Strategies of Optimization in Insurance Payment Processes

In this paper we discuss the insurance companies with payment process$A_t$ hedge their risk to the level of minimax by buying stocks $S_t$, exchanging foreign -- currency $Q_t$ and buying risk -- free asset $B_t$ in the financial market $(S_t,Q_t,B_t)$. In virtue of Galtchouk-Kunita-Watanabe Decomposition Theorem, the expression of risk is expressed over again. Then we get the hedging strategies of optimization with minimal risk. It gives out a realistic example to apply the important conclusion in this paper, which makes this paperto be more practical.