一种比例再保险和投资最优化问题  

A Proportional Reinsurance and Investment Optimization Problem

作　　者：曾敏[1] 陈萍[1] 

机构地区：[1]南京理工大学理学院,南京210094

出　　处：《数学理论与应用》2016年第2期45-52,共8页Mathematical Theory and Applications

摘　　要：假设保险盈余服从跳跃扩散过程,保险资金投资标的包括无风险资产和风险资产两部分,其中股票价格过程服从CEV模型.本文研究了一种终值财富期望指数效用最大化的最优化比例再保险投资问题.利用随机控制理论技术,得到比例再保险投资过程的HJB方程,并从理论上推导出了最优投资策略和价值函数的显示表达式.In this paper, insurance surplus are assumed to be jump--diffusion process, insurance funds portfo- lio includes risk--free asset and risk assets , the stock price process follows the CEV model. We study a kind of optimal investment--reinsurance problem of maximizing the expected exponential utility of terminal wealth. Using the theory of stochastic control technology, get the HJB equation of proportional reinsurance investment process, and deduce the expression of the optimal investment strategy and value function in theory.

关 键 词：比例再保险CEV模型 指数效用函数 随机控制理论 HJB方程 

分 类 号：F842.3[经济管理—保险] F832.48F224