随机保费收入的保险投资模型  

Investment for an Insurer with Stochastic Premium

作　　者：荣喜民[1] 赵慧[2] 

机构地区：[1]天津大学理学院,天津300072 [2]天津大学管理学院,天津300072

出　　处：《天津大学学报》2009年第8期752-755,共4页Journal of Tianjin University(Science and Technology)

基　　金：天津市自然科学基金资助项目(07JCYBJC05200;09JCYBJC01800);南开大学-天津大学刘徽应用数学中心资助项目(2001T08)

摘　　要：假设保费收入是随机的且与风险资产价格相关,当赔付过程是一般的纯跳跃过程(较复合泊松过程更具一般性),且风险资产的期望收益和波动率随时间变化时,提出未来时刻保险人的期望效用最大化投资模型,得到了最优投资策略的显式表达.It is assumed that the premium is a stochastic process which has correlation with the risky asset price process. When the claim process is supposed to be a pure jump process more general than compound Poisson, and the expected profit and volatility of the risky asset is stochastic ,the optimal strategy for an insurer at a future time is studied and an explicit solution is obtained.

关 键 词：指数效用函数 随机保费 Cameron—Martin—Girsanov定理 相关系数 

分 类 号：O29[理学—应用数学] F224[理学—数学]