基地研究员胡祥副教授及其合作者论文《Equilibrium mean–variance reinsurance and investment strategies for a general insurance company under smooth ambiguity》在国际知名期刊The North American Journal of Economics and Finance发表。

Abstract: This work investigates the equilibrium investment and reinsurance strategies for a general insurance company under smooth ambiguity. The general insurance company holds shares of an insurance company and a reinsurance company. The claims of the insurer follow a compound Poisson process. The insurer can divide part of the insurance risk to the reinsurer. Besides, the insurer and reinsurer both participate in the financial market and invest in cash and stock. However, the general insurance company is ambiguous about the insurance and financial risks and is an ambiguity-averse manager (AAM). The uncertainties over the insurance and financial risks are described by second-order distributions. The AAM aims to maximize the average performance of the weighted sum surplus process of the insurer and reinsurer under the mean–variance criterion and smooth ambiguity. We present the extended Hamilton–Jacobi–Bellman (HJB) system for the optimization problem combining the mean–variance criterion and smooth ambiguity. In the case that the second-order distributions are Gaussian, we obtain the closed-forms of the equilibrium reinsurance and investment strategies. At the end of this work, sensitivity analyses are presented to show the economic behaviors of the AAM.

Keywords: Proportional reinsurance; Investment; Equilibrium strategy; Smooth ambiguity; Mean–variance

论文链接：https://www.sciencedirect.com/science/article/pii/S1062940822001310

教师简介

胡祥，中南财经政法大学金融学院副教授，中南财经政法大学“文澜青年学者”，主要研究方向为保险精算与风险管理。在Insurance: Mathematics and Economics, ASTIN Bulletin, Scandinavian Actuarial Journal, North American Actuarial Journal以及《统计研究》《保险研究》等学术期刊发表论文20余篇，主持并参与多项国家自然科学基金和国家社科基金项目。