带有随机消费的保险基金投资问题  

Research on Investment of Insurance Funds with Random Consumption

作　　者：贺芳[1] 荣喜民[1] 

机构地区：[1]天津大学理学院,天津300072

出　　处：《工程数学学报》2013年第4期545-555,共11页Chinese Journal of Engineering Mathematics

摘　　要：本文主要研究保险基金投资中带有随机消费的期望终端资产效用问题,在期望终端财富CARA指数效用最大化目标下,利用随机控制原理,通过求解HJB方程,获得了带有随机消费且随机消费过程分别与风险资产过程和盈余过程相关的最优投资的解析解,结论表明,消费与风险资产和盈余的相关性对保险公司最优决策具有影响.We discuss the portfolio selection problem with random consumption of an insurer in the sense of maximizing the expected utility of terminal wealth. By applying the stochastic control theory and solving the corresponding HJB equation, we obtain an explicit optimal strategy for the CARA utility and derive a corresponding value function. It is shown that the proposed optimal strategy is influenced by the correlation coefficients of random consumption and risky assets, consumption and underwriting risk, respectively.

关 键 词：保险投资 随机消费 随机控制理论 HJB方程 最优策略 期望终端财富效用 

分 类 号：F224[经济管理—国民经济] O22[理学—运筹学与控制论]