组合投资策略下的最终破产概率问题研究  

Research of ultimate ruin probability problem with portfolio investment

作　　者：赵武[1] 王定成[2,3,1] 曾勇[1] 

机构地区：[1]电子科技大学管理学院,四川成都610054 [2]澳大利亚国立大学金融数学中心 [3]电子科技大学应用数学学院,四川成都610054

出　　处：《系统工程学报》2009年第4期417-422,共6页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(70671018)

摘　　要：在全部资产分别投资于股票市场和无风险债券的情形下,研究了保险公司的最终破产概率和组合投资策略.假设风险投资现值为常数族,利用鞅方法得到了最终破产概率的指数型上界,并且解出了最优组合投资策略.为保险公司提供可以控制风险的合理投资策略.最后给出了算例阐述该结果.Under the condition that all the assets are invested in stock and risk-free bond markets respectively, this paper investigates the ultimate ruin probability and portfolio investment strategy of insurance company. Provided that the discounted value of risky investments is a constant family, an exponential type upper bound of the ultimate ruin probability are obtained with the martingale approach, the optimal portfolio investment strategy are derived as well. The aim of this paper is to provide a rational investment strategy which can control the risk of insurers. Finally, an example is used to illustrate the results.

关 键 词：破产概率 几何布朗运动 调节系数 指数鞅 

分 类 号：F840[经济管理—保险]