带相依布朗运动风险模型的最优投资比例问题  

The Ruin Probability for Insurer with Dependency Double Jump-Diffusion Risk Process

作　　者：龚海院[1] 严水仙[2] 黄飞菲[1] 

机构地区：[1]江西师范大学数学与信息科学学院,南昌330022 [2]赣南师范学院数学与计算机科学学院,江西赣州341000

出　　处：《赣南师范学院学报》2010年第6期24-27,共4页Journal of Gannan Teachers' College(Social Science(2))

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.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.

关 键 词：最优投资比例 破产概率 HJB方程 

分 类 号：O211.6[理学—概率论与数理统计]