跳-扩散风险模型下的最优投资和再保策略  

Optimal Investment and Reinsurance Policy for Jump-diffusion Risk Model

作　　者：王永茂[1] 王丹[1] 龙梅[1] 贠小青[1] 

机构地区：[1]燕山大学理学院,河北秦皇岛066004

出　　处：《郑州大学学报（理学版）》2015年第1期50-54,共5页Journal of Zhengzhou University:Natural Science Edition

基　　金：秦皇岛市科学技术研究与发展计划项目;编号201302A221

摘　　要：研究了跳-扩散模型下的最优投资和最优再保险策略问题.基于跳-扩散风险模型,考虑购买非便宜比例再保险,以及资产投资于无风险资产和风险资产的条件下,通过应用HJB方程理论,得到破产时期望红利最大的最优策略和值函数.同时给出了当理赔分布为指数分布时最优投资策略和值函数的计算方法.算例中给出了一些参数对投资策略的影响,可以看出投资策略是符合实际情况的.The optimal investment and reinsurance policies of an insurer was studied with jump-diffusion risk model. It was obtained that the equation of optimal policy and value function which maximized the expected dividend in the ruin time through applying the theory of HJB equation, under the assumption that the insurer was allowed to purchase non-cheap proportional reinsurance and invest in the risky-free asset and risky asset. The calculation method of optimal investment strategy and value function were pres- ented when the claim distribution was exponential. In numerical example, according to the effect of some parameters on the investment strategy, it was concluded that the investment strategy conformed to actual situation.

关 键 词：跳-扩散风险模型 HAMILTON-JACOBI-BELLMAN方程 再保险 投资策略 

分 类 号：F840.62[经济管理—保险]