Heston随机方差模型下的最优投资和再保险策略  

OPTIMAL INVESTMENT AND REINSURANCE POLICIES UNDER HESTON RANDOM VARIANCE MODEL

作　　者：李艳方[1,2] 林祥[1] 

机构地区：[1]中南大学数学科学与计算技术学院,湖南长沙410075 [2]河南理工大学数学与信息科学学院,河南焦作454000

出　　处：《经济数学》2009年第4期32-41,共10页Journal of Quantitative Economics

基　　金：国家自然科学基金资助项目(10671212;10771216)

摘　　要：对跳-扩散风险模型,在对赔付进行比例再保险,以及盈余投资于无风险资产和方差满足Heston模型的风险资产的条件下,研究使得最终财富的指数期望效用最大的最优投资和比例再保险策略.得到最优投资和比例再保险策略以及最终财富的最大指数期望效用的显示表达式,并通过数值计算找到最优投资和比例再保险策略与各参数之间的关系.This paper investigated an insurance company whose surplus is modeled by a jump diffusion risk process.The insurance company can invest the surplus in the risk-free asset and the risky asset whose volatility is described by a Heston model,and purchase proportional reinsurance for claims.The main goal was to find an optimal investment and proportional reinsurance policy which maximizes the expected exponential utility of terminal wealth.We obtained the close form expression for the value function,optimal inv...

关 键 词：Heston模型 最优投资策略 比例再保险 Heston-Jacobi-Bellman方程 指数效用 

分 类 号：O211.67[理学—概率论与数理统计]