含有期权的最优投资与比例再保险策略  

Optimal investment and proportional reinsurance strategy with options

作　　者：傅毅[1] 张寄洲[2] 周翠[2] 

机构地区：[1]上海师范大学商学院,上海200234 [2]上海师范大学数理学院,上海200234

出　　处：《系统工程学报》2015年第2期181-189,230,共10页Journal of Systems Engineering

基　　金：上海市教委科研创新重点资助项目(13ZZ107);上海师范大学校级资助项目(SK201506)

摘　　要：在Black-Scholes模型假设的市场条件下,研究了保险公司投资对象含有欧式看涨期权的情形下,进行投资和比例再保险的策略问题.以保险公司到期财富效用最大化为目标,运用动态规划原理得到了最优值函数满足的HJB方程,得到了包含期权在内的资产最优投资策略和比例再保险策略的显式解,并证明了解的验证定理.最后分析了不同参数对模型策略的影响.The optimal investment and proportional reinsurance strategy are studied in the case that the invest- ment portfolio contains European call options under the Black-Scholes model. By using stochastic control methods, the utility maximization model and the corresponding HJB equation are obtained. What＇s more, the closed-form solutions of the HJB equation are solved, and the verification theorem is also proved. Finally, the influence of parameters on the solution is analyzed to illustrate the result.

关 键 词：CEV过程 期权 比例再保险 随机控制 

分 类 号：O175.2[理学—数学]