双复合泊松风险保险公司最优投资策略  

An optimal portfolio approach of insurance under the two-compound Poisson risk model

作　　者：孙宗岐[1] 刘煜[2] 

机构地区：[1]西安思源学院数理教研室,陕西西安710038 [2]西安交通大学能源与动力工程学院,陕西西安710049

出　　处：《重庆文理学院学报（自然科学版）》2011年第1期17-19,共3页Journal of Chongqing University of Arts and Sciences

摘　　要：本文克服了保险资金在投资时间上的时滞限制以及保费以常数速率到达的不足,考虑保费和索赔同时都是随机到达的情况下受破产控制的保险公司最优投资策略问题,利用随机Lagrange方法获得了保险公司最优投资策略满足的解析式解.In order to overcome the investment time delay constraints of insurance claim and the deficiency of premiums following a constant rate,the optimal investment strategy of insurance company controlled by the bankruptcy was proposed,considering both premiums and claims are random arrival under the Two-compound Poisson risk model.The analytic solutions of the optimal investment strategy were solved by a stochastic Lagrange method.

关 键 词：双复合泊松风险 破产概率 M-V模型 随机Lagrange方法 最优投资策略 

分 类 号：O211.6[理学—概率论与数理统计]