带扰动风险资产的风险模型最优投资问题研究  

Research on Optimal Investment with Risky Assets

作　　者：樊涛[1] 伍亚魁[1] 龚海院[1] 

机构地区：[1]海南师范大学数学与统计学院,海南海口571158

出　　处：《九江学院学报（自然科学版）》2013年第1期44-46,53,共4页Journal of Jiujiang University：Natural Science Edition

摘　　要：本文研究了部分投资风险模型的最优投资问题,保险公司盈余由两个扩散过程组成,其盈余投入到金融市场,一部分投入到风险市场股票市场,一部分投入到无风险市场证劵市场,本文通过相应的HJB方程,并用Laplace变化求出最优通解.In this paper,optimal investment was studied in a risk model with one risky asset about disturbance factor.The company surplus was governed by two linear diffusions,while in addition,the insurer could invest its surplus in a financial market.The case was divided with one risk free asset（bond or bank account） and one risky asset（stock）.The solution was found through the corresponding HJB equation and the variation of Laplace.

关 键 词：风险模型 最优投资比 HJB方程 

分 类 号：O29[理学—应用数学]