带交易费用的最优投资和比例再保险  

Optimal Investment and Proportional Reinsurance with Transaction Costs

作　　者：杨鹏[1] 林祥[2] 

机构地区：[1]西京学院基础部,陕西西安710123 [2]中南大学数学学院,湖南长沙410075

出　　处：《经济数学》2011年第2期29-33,共5页Journal of Quantitative Economics

基　　金：国家自然科学基金(10671212;10771216)

摘　　要：研究了保险公司的最优投资和再保险问题.保险公司的盈余通过跳扩散风险模型来模拟,可以把盈余的一部分投资到金融市场,金融市场由一个无风险资产和n个风险资产组成.并且保险公司还可以购买比例再保险;在买卖风险资产时,考虑了交易费用.通过随机控制的理论,获得了最优策略和值函数的显示解.This paper studied an optimal investment and reinsurance problem for insurance company,whose surplus was modeled by a jump diffusion risk process.The insurance company can invest part of the surplus in a risk-free asset,and n risky asset and purchase proportional reinsurance for claims.When purchasing risky asset,we assume there exist transaction costs.The stochastic control theory was applied to solve this problem,and the close form expression for vulue function and optimal policy was obtained.

关 键 词：随机控制 Hamilton-Jacobi-Bellman(HJB) 投资 再保险 

分 类 号：F830[经济管理—金融学] O211.3[理学—概率论与数理统计]