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跳-扩散风险模型的最优投资策略和破产概率研究 被引量：4

RUIN PROBABILITIES AND OPTIMAL INVESTMENT STRATRGY FOR JUMP-DIFFUSION RISK MODEL
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摘要 对盈余投资于金融市场的跳-扩散风险模型的最优投资策略和破产概率进行了研究,得到最优投资策略和最小破产概率的显示解,发现破产概率满足Lundberg等式.最后通过数值计算,得到最小破产概率与无风险利率,投资和相关系数之间的关系,以及无风险利率和相关系数对最优投资策略的影响. The ruin probabilities and optimal investment strategy for jump-diffusion risk model were studled, and the close form expression for the minimal ruin probability and optimal investment strategy was obtained. The results show that the minimal ruin probability satisfies the Lundberg equality. The relationships between the minimal ruin probability and the risk-free rate and investment were studied, and the effects of the risk-flee rate on the optimal investment strategy were investigated by numerical calculation.
作者 林祥 钱艺平
机构地区 中南大学数学学院概率统计研究所 中南大学商学院
出处 《经济数学》 北大核心 2009年第2期1-8,共8页 Journal of Quantitative Economics
基金 国家自然科学基金(10671212 10771216)资助
关键词 破产概率 无风险利率 最优投资策略 Hamilton—Jacobi—Bellman方程 ruin probability risk-free rate optimal investment strategy Hamilton-Jacobi-Bellman equation
分类号 F830 [经济管理—金融学]
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参考文献14

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同被引文献45

  • 1王晓东.跳跃—扩散过程的最优投资消费[J].纺织高校基础科学学报,2006,19(1):32-35. 被引量：1
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引证文献4

二级引证文献6

经济数学
2009年 第2期

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