带扰动风险资产的风险模型最优投资问题研究

Research on Optimal Investment with Risky Assets

本文研究了部分投资风险模型的最优投资问题,保险公司盈余由两个扩散过程组成,其盈余投入到金融市场,一部分投入到风险市场股票市场,一部分投入到无风险市场证劵市场,本文通过相应的HJB方程,并用Laplace变化求出最优通解.

In this paper,optimal investment was studied in a risk model with one risky asset about disturbance factor.The company surplus was governed by two linear diffusions,while in addition,the insurer could invest its surplus in a financial market.The case was divided with one risk free asset（bond or bank account） and one risky asset（stock）.The solution was found through the corresponding HJB equation and the variation of Laplace.