摘要
研究了保险公司在随机保费下索赔服从复合泊松过程的风险模型,通过投资市场上的两种证券,引用财富效用函数,建立了最优投资问题.并根据随机控制理论得到了最大化财富的HJB方程,通过求解模型,得到了公司风险资产的配置额,最后对风险资产的投资进行数值模拟.
The optimal investment strategy for an insurance company was studied by maximizing the terminal expected utility. The premium is assumed to be stochastic, and the aggregate claim process follows a compound Poisson process. Then according to the dynamic programming principle, the corresponding HJB equation, and the exponential-type solution of the terminal expected utility function have been obtained. Finally, some numerical examples are given and the corresponding results are presented.
出处
《宁德师范学院学报（自然科学版）》
2012年第4期361-365,共5页
Journal of Ningde Normal University(Natural Science)
关键词
最优投资
指数效用函数
复合泊松过程
随机控制
HJB方程
optimal investment
exponential utility function
compound Poisson process
stochasticcontrol
Hamihon-Jacobi-Bellman equation
