随机保费收入的保险投资模型

Investment for an Insurer with Stochastic Premium

假设保费收入是随机的且与风险资产价格相关,当赔付过程是一般的纯跳跃过程(较复合泊松过程更具一般性),且风险资产的期望收益和波动率随时间变化时,提出未来时刻保险人的期望效用最大化投资模型,得到了最优投资策略的显式表达.

It is assumed that the premium is a stochastic process which has correlation with the risky asset price process. When the claim process is supposed to be a pure jump process more general than compound Poisson, and the expected profit and volatility of the risky asset is stochastic ,the optimal strategy for an insurer at a future time is studied and an explicit solution is obtained.