摘要
将随机利率模型引入保险公司的最优投资比例研究中,建立并求解了相应的HJB方程.解出了在效用函数为指数函数时的保险公司最优投资比例,并把结果与常利率模型下的最优投资比例进行比较,证实了考虑利率的随机性更加适合现实投资环境.
In this paper,stochastic interest rate model has been introduced to the study of optimum investment proportion of insurance companies,then the HJB equation was established and solved.The optimal investment proportion of insurance companies was solved,when utility function was exponential utility function.We compared this result with the optimal investment proportion under the constant rate model,and confirmed that considering the randomness of interest was more suitable for the reality investment environment.
出处
《云南师范大学学报（自然科学版）》
2015年第2期56-61,共6页
Journal of Yunnan Normal University:Natural Sciences Edition
基金
国家自然科学基金资助项目(71163046)
关键词
随机利率
随机最优控制
最优投资比例
Stochastic interest rate
Stochastic optimal control
Optimum investment proportion
