跳-扩散过程下带实业项目的保险最优决策

Optimal Insurance Approach with Real Investment under Jump-Diffusion Processes

为了考虑一类带有实业项目投资的保险最优投资策略问题,假定保险公司盈余服从跳-扩散过程,在最小化保险公司破产概率准则下,使用动态规划原理建立了线性消费率下保险资金最优投资选择模型,通过求解HJB方程得到了最优投资决策和最小破产概率的解析式解,最后分析了线性消费、索赔强度、索赔额以及实业项目投资额对最小化破产概率和最优投资策略的影响.

Under the hypothesis that the insurance＇s reserve price follows a jump-diffusion process, a class of optimal portfolio problem that combines a real investment was studied. Based on the criterion of minimizing the insurance＇s ruin probability, the optimal investment choice model was established by using dynamic programming principle under the linear consumption rate. The optimal analytic solutions of the optimal investment approach and the minimizing ruin probability were obtained by solving the HJB equation. Finally, and the relationship between the linear consumption rate, the claim strength, the claim amount, the project investment and the Optimal Financial Approach was analyzed.