随机控制下的资产投资策略

Investment strategy of assets under the stochastic control

考虑一段时间的最优投资策略选择问题———最小化总收益与初始资金的偏差.在给定初始准备金的前提下,利用随机线性二次控制中Hamilton-Jacobi-Bellman(HJB)方程的相关理论,得到满足保险公司投资决策目标的最优投资策略的表达式.结果表明:保险公司的最优投资策略不仅取决于债券市场的风险大小,而且取决于保费收益率、索赔到达的强度以及债券风险收益率等.

The selection problem of the optimal investment strategy in a period time is considered, which minimizes the deviation between the total revenue and initial funding. Under the premise of the given initial reserve, this paper uses the theory of HJB equation in stochastic linear quadratic control, obtains the expressions of the optimal investment strategy meeting the insurance company＇s investment decision-making target. The results show that the optimal investment strategy of insurance companies not only depends on the bond market risk, but also depends on the premium rate of return, the intensity of claim arrival and bond yield risk.