项目名称: 最优再保险理论研究及其在金融中的应用
项目编号: No.11471345
项目类型: 面上项目
立项/批准年度: 2015
项目学科: 数理科学和化学
项目作者: 池义春
作者单位: 中央财经大学
项目金额: 60万元
中文摘要: 本项目基于我们的前期研究积累,致力于最优再保险理论研究及其在金融中的应用。研究内容分为四个部分:(1)在一些保险实务常用的再保险保费准则下最优再保险策略的构造;(2)最优再保险形式对分出策略的约束、再保险保费准则以及优化目标的鲁棒性分析;(3)研究在多种保费准则下风险组合的最优再保险问题,以及风险间的相依性对最优再保险策略的影响;(4)面对多个再保险公司时,保险公司的最优再保险方案设计。这四个部分的研究紧密相关,并且逐步深入。研究将结合我们原创性的研究积累进行,期待取得创新性高水平的研究成果。此外,我们将最优再保险理论研究成果用于解决一些金融问题,如不完全市场中的最优部分对冲问题,它们往往与最优再保险问题在数学模型上高度相似。再保险和对冲分别是保险业和金融业风险管理的重要手段,因而我们的研究成果具有实际应用价值。
中文关键词: 最优再保险;多种保费准则;鲁棒性分析;风险组合;金融中的应用
英文摘要: Based on our research accumulation, this project is devoted to studying optimal reinsurance theory and its applications in finance. The research is mainly composed of four parts: (1)The design of an optimal reinsurance policy under reinsurance premium principles that are widely used in insurance practice;(2)Robustness analysis of optimal reinsurance with respective to the constraints on ceded strategies, reinsurance premium principles and optimization criteria;(3)Analyzing optimal reinsurance problems for a risk portfolio under multiple premium principles, and the effect of risk dependence to the optimal reinsurance policy;(4)The design of optimal reinsurance policies that cede risk to many reinsurers. The studies of four parts are closed related and gradually deepening. The research will be carried out based on our innovative research accumulation, and is expected to get original and high level results. Moreover, we will apply optimal reinsurance theory to solve some financial problems such as the optimal partial hedging problems in incomplete financial markets, due to the high similarities in mathematical modeling between these problems and optimal reinsurance problems. Since reinsurance and hedging are important tools of risk management in insurance and finance respectively, our research results have practical value.
英文关键词: Optimal reinsurance;Multiple premium principles;Robustness analysis;Risk portfolio;Applications in finance