Optimal Investment with Multiple Risky Assets for an Insurer with Modified Periodic Risk Process  

作　　者：ZHAO Hui RONG Ximin 

机构地区：[1]School of Science, Tianjin University

出　　处：《Journal of Systems Science & Complexity》2015年第4期997-1014,共18页系统科学与复杂性学报（英文版）

基　　金：supported by the Natural Science Foundation of Tianjin under Grant No.09JCYBJC01800

摘　　要：This paper considers the optimal investment problem for an insurer in the sense of maximizing the adjustment coefficient of the risk process.The authors propose a modified periodic risk model in which the periodic risk process is perturbed by a standard Brownian motion.The insurer can invest in multiple risky assets and one risk-free asset and the correlations between the risky assets and the risk process are considered.Optimal strategy is obtained explicitly,which is a function of time and related to the risk process.The effects of market parameters on the optimal strategy are discussed and a numerical example is also given.

关 键 词：Adjustment coefficient modified periodic risk model multiple risky assets optimalinvestment ruin probability. 

分 类 号：F840.31[经济管理—保险]