|Table of Contents|

Optimal Proportional Reinsurance and Pairs Trading Polices for Insurer(PDF)

《南京师大学报（自然科学版）》[ISSN:1001-4616/CN:32-1239/N]

Issue:
2019年04期
Page:
39-43
Research Field:
·数学与计算机科学·
Publishing date:

Info

Title:
Optimal Proportional Reinsurance and Pairs Trading Polices for Insurer
Author(s):
Huang Boqiang1; Li Qicai2
(1.School of Zhongbei,Nanjing Normal University,Nanjing 210023,China)(2.School of Mathematical Sciences,Nanjing Normal University,Nanjing 210023,China)
Keywords:
proportional reinsurance; pairs trading; spread; optimal polices; stochastic control
PACS:
F830.91
DOI:
10.3969/j.issn.1001-4616.2019.04.006
Abstract:
This paper discusses optimization problem which the insurer transfer the claims risk by proportional reinsurance and manage the wealth by pairs trading. The surplus of claims is modeled by compound Poisson process. And the insurer can invest it’s wealth into pairs portfolio which include a long position on one stock and a short on another stock. The price spread of this pair follows a mean-reverting stochastic process. Under maximizing of expect exponent utility of the terminal wealth,the optimal proportional reinsurance and pairs trading polices and value function are solved by stochastic control theory.

References:

[1] LITTERMAN B. Modern Investment Management—an Equilibrium Approach[M]. New York:Wiley,2003.
[2]GONCU A,AKYILDIRIM E. Statistical arbitrage with pairs trading[J]. International review of finance,2016,16(2):307-319.
[3]FALLAHPOUR S,HAKIMIAN H,TAHERI K,et al. Pairs trading strategy optimization using the reinforcement learning method:a cointegration approach[J]. Soft comput,2016,20:5051-5066.
[4]YANG J,TSAI S,SHYU S,et al. Paring trading:the performance of a stochastic spread model with regime switching-evidence from the S&P500[J]. International review of economics and finance,2016,43:139-150.
[5]SMITH R,XU X. A good pair:alternative pairs-trading strategies[J]. Financ Mark Portf Manag,2017,31:1-26.
[6]TOURIN A,YAN R. Dynamic pairs trading using the stochastic control approach[J]. Journal of economic dynamics & control,2013,37:1972-1981.
[7]SONG Q,ZHANG Q. An optimal pairs-trading rule[J]. Automatica,2013,49:3007-3014.
[8]傅毅,张寄洲,郭润楠. 基于配对策略的基金动态资产配置[J]. 系统管理学报,2017,26(5):879-887.
[9]李启才,顾孟迪. 指数均值回复金融市场下的最优投资和最优再保险策略[J]. 管理工程学报,2016,30(4):79-84.
[10]李启才. 两类保险业务时保险公司的调节系数和再保险策略[J]. 南京师大学报(自然科学版),2015,38(4):42-46.
[11]FLEMING W,SONER H. Controlled Markov Process an Viscosity Solutions[M]. 2nd ed. New York:Spring,2005.

Memo

Memo:
-
Last Update: 2019-12-31