Optimal Investment Strategy for an Insurer in Two Currency Markets  

保险公司在两个货币市场中的最优投资策略

作　　者：ZHOU Qianqian 周倩倩(南京邮电大学理学院,南京210023;天津理工大学理学院,天津300384)

机构地区：[1]School of Science,Nanjing University of Posts and Telecommunications,Nanjing,210023,China [2]School of Science,Tianjin University of Technology,Tianjin,300384,China

出　　处：《应用概率统计》2025年第1期1-16,共16页Chinese Journal of Applied Probability and Statistics

基　　金：supported by the National Natural Science Foundation of China(Grant No.12301603).

摘　　要：In this paper,we study the optimal investment problem of an insurer whose surplus process follows the diffusion approximation of the classical Cramer-Lundberg model.Investment in the foreign markets is allowed,and therefore,the foreign exchange rate model is incorporated.Under the allowing of selling and borrowing,the problem of maximizing the expected exponential utility of terminal wealth is studied.By solving the corresponding Hamilton-Jacobi-Bellman equations,the optimal investment strategies and value functions are obtained.Finally,numerical analysis is presented.本文研究了遵循经典Cramer-Lundberg模型扩散近似的保险公司的最优投资问题.由于允许投资于国外市场,因此在本文中我们纳入了外汇汇率模型.在允许卖空和借贷的条件下,本文研究了最大化终端财富期望指数效用的问题.通过求解相应的Hamilton-Jacobi-Bellman方程,获得了最优投资策略和价值函数.最后,在本文中我们给出了数值分析.

关 键 词：Cramer-Lundberg model exponential utility Hamilton-Jacobi-Bellman equation optimal investment strategy foreign exchange rate 

分 类 号：O211.6[理学—概率论与数理统计]