报告人：荣喜民（天津大学）

时间：2022年11月04日 10:00-

腾讯会议ID：510 366 145

摘要：This paper investigates the optimal investment problem with multiple risky assets and correlation. The claim process is described by a Brownian motion with drift under the mean-variance premium principle. The insurer is allowed to invest in one risk-free asset and multiple risky assets whose price processes follow the constant elasticity of variance (CEV) model. Moreover, the correlation between the claim process and each risky asset’s price is taken into account. The insurer’s objective is to maximize the utility of the terminal wealth. By using dynamic programming method, we propose a new form of the value function and derive the optimal investment strategy explicitly for the exponential utility. In addition, we provide some special cases of our model, i.e.,the optimal investment problem with two risky assets and with one risky asset. The results show that ignoring the correlation between the claim process and the risky asset’s price process will misestimate the value of risky assets, thereby seriously affecting the insurer’s choice of investment strategy. Finally, the sensitivity analyses are presented to analyze the effects of model parameters on the optimal investment strategy.

简介：荣喜民，天津大学数学学院教授，博士生导师，天津市现场统计学会副理事长，中国工程概率统计学会常务理事。主要从事金融数学、精算数学、风险管理等方面研究工作，在IME、QF、IMA Journal of Management Mathematics、JCAM、JMAA、JSSC、系统工程理论与实践等期刊发表相关论文近百篇，其中SCI检索40余篇。主持并参与多项国家自然科学基金和天津市自然科学基金项目。

邀请人：张志民

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