摘要
研究了保险公司在均值-方差准则下的最优投资问题,其中保险公司的盈余过程由带随机扰动的Cramer-Lundberg模型刻画,而且保险公司可将其盈余投资于无风险资产和一种风险资产.利用随机动态规划方法,通过求解相应的HJB方程,得到了均值方差模型的最优投资策略和有效前沿.最后,给出了数值算例说明扰动项对有效前沿的影响.
In this paper, optimal investment strategy for an insurer under mean-variance criterion is discussed, where the surplus process of the insurer is a kind of perturbed classical risk model and the insurer can invest it＇s surplus on risk-less asset and a kind of risky asset. By solving the Hamilton-Jacobi-Bellman equations, we obtain that optimal investment strategy and the efficient frontier for the mean-variance problem. At last, we present numerical examples to show how the perturbed term effects the efficient frontier.
出处
《数学的实践与认识》
CSCD
北大核心
2012年第22期24-30,共7页
Mathematics in Practice and Theory
