| 保险公司随机保费下的最优投资策略 |
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| 引用本文： | 王霞,施齐焉.保险公司随机保费下的最优投资策略[J].宁德师专学报(自然科学版),2012,24(4):361-365. |
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| 作者姓名： | 王霞 施齐焉 |
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| 作者单位： | 福州大学数学与计算机科学学院,福建福州,350108 |
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| 摘 要： | 研究了保险公司在随机保费下索赔服从复合泊松过程的风险模型，通过投资市场上的两种证券，引用财富效用函数，建立了最优投资问题．并根据随机控制理论得到了最大化财富的HJB方程，通过求解模型，得到了公司风险资产的配置额，最后对风险资产的投资进行数值模拟．
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| 关 键 词： | 最优投资 指数效用函数 复合泊松过程 随机控制 HJB方程 |
Optimal investment strategy for insurer with stochastic premium |
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| WANG Xia,SHI Qi-yan.Optimal investment strategy for insurer with stochastic premium[J].Journal of Ningde Teachers College(Natural Science),2012,24(4):361-365. |
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| Authors: | WANG Xia SHI Qi-yan |
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| Institution: | ( College of Mathematics and Computer Science, Fuzhou University, Fuzhou,Fujian 350108, China ) |
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| Abstract: | The optimal investment strategy for an insurance company was studied by maximizing the terminal expected utility. The premium is assumed to be stochastic, and the aggregate claim process follows a compound Poisson process. Then according to the dynamic programming principle, the corresponding HJB equation, and the exponential-type solution of the terminal expected utility function have been obtained. Finally, some numerical examples are given and the corresponding results are presented. |
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| Keywords: | optimal investment exponential utility function compound Poisson process stochasticcontrol Hamihon-Jacobi-Bellman equation |
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