摘要
在最大化生存概率和最大化终止时刻期望效用准则下,通过求解相应的HJB方程,获得了最优投资策略以及最优比例再保险策略的闭式解。这一研究结果易于实时操作,对投资者的决策有直接的指导意义。
In this paper, we consider the optimal investment and proportional reinsurance policy for the maximal survival probability or maximizing expected exponential utility from terminal wealth. In each case we solve the corresponding Hamilton-Jacobi-Bellman equation and find a closed-form expression.
出处
《财经理论与实践》
CSSCI
北大核心
2009年第3期31-34,共4页
The Theory and Practice of Finance and Economics
关键词
生存概率
指数效用
HJB方程
比例再保险
Survival probability
Exponential utility
Hamilton-Jacobi-Bellman equation
Proportional reinsurance
