| 带相依布朗运动风险模型的最优投资比例问题 |
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| 引用本文： | 龚海院,严水仙,黄飞菲.带相依布朗运动风险模型的最优投资比例问题[J].赣南师范学院学报,2010,31(6). |
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| 作者姓名： | 龚海院 严水仙 黄飞菲 |
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| 摘 要： | 本文研究带相依布朗运动风险模型的最优投资比例问题.保险公司的盈余由两个相依的扩散过程构成,其盈余投入到金融市场.在Black-scholes风险市场环境下,保险公司的盈余分为两部分,一部分投入到风险市场,另一部分投入到无风险市场.本文通过求解对应的HJB方程,找到了使得保险公司具有最小破产概率的最优投资比例.
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| 关 键 词： | 最优投资比例 破产概率 HJB方程 |
The Ruin Probability for Insurer with Dependency Double Jump-Diffusion Risk Process |
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| GONG Hai-yuan,YAN Shui-xian,HUANG Fei-fei.The Ruin Probability for Insurer with Dependency Double Jump-Diffusion Risk Process[J].Journal of Gannan Teachers' College(Social Science(2)),2010,31(6). |
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| Authors: | GONG Hai-yuan YAN Shui-xian HUANG Fei-fei |
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| Abstract: | In this paper,we study the probability of ruin for insurer with dependency double jump-diffusion risk process.The company's surplus is governed by two linear diffusion,while in addition the insurer can invests its surplus in a finacial market.We consider the case of investment in Black-scholes market with one risk-free asset(bond or bank account)and one risky asset(stock).We apply stochastic control theory to solve the problem.We only consider one case that is the investment neither borrowing nor short-selling is allowed.In this case we solve the corresponding HJB equation and find the optimal policy. |
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| Keywords: | the best investment ratio the prabability of ruin HJB equation |
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