基于生存概率的保险基金最优投资策略研究  

THE OPTIMAL STRATEGY RESEARCH OF INSURANCE FUND BASED ON SURVIVAL PROBABILITY

作　　者：高建伟[1] 

机构地区：[1]华北电力大学工商管理学院,北京102206

出　　处：《经济数学》2008年第3期229-235,共7页Journal of Quantitative Economics

基　　金：国家自然科学基金资助项目(No.70501010);北京市自然科学基金资助项目(No.9072009);教育部人文社科基金项目(No.07JC790025);北京市优秀人才基金项目(No.20071D1600900432)

摘　　要：利用破产理论和随机控制理论研究保险基金最优投资策略,建立生存概率最大化的目标函数,得到最优投资策略满足的随机微分方程;在初始金逼近0时得到保险基金的最优投资策略的显示解;采用递推算法,得到初始准备金为任意值时的最优投资策略.In this paper, using the theory of ruin and stochastic optimal control, this paper derives the stochastic differential equation of optimal investment strategy which should be satisfied by converting the objective function of the optimal investment strategy problem given the condition of the initial reserve nearly approaching zero. Furthermore, the optimal investment strategy problem is concluded under the condition of the initial reserve approaching random value by using step-by-step arithmetic.

关 键 词：随机控制理论 几何布朗运动 HJB方程 保险基金 破产理论 生存概率 

分 类 号：O212.2[理学—概率论与数理统计]