期刊文献+
共找到2篇文章
< 1 >
每页显示 20 50 100
Optimal Investment and Premium Control in a Nonlinear Diffusion Model 被引量:7
1
作者 Ming ZHOU Kam Chuen YUEN Chuan-cun YIN 《Acta Mathematicae Applicatae Sinica》 SCIE CSCD 2017年第4期945-958,共14页
This paper considers the optimal investment and premium control problem in a diffusion approxi- mation to a non-homogeneous compound Poisson process. In the nonlinear diffusion model, it is assumed that there is an un... This paper considers the optimal investment and premium control problem in a diffusion approxi- mation to a non-homogeneous compound Poisson process. In the nonlinear diffusion model, it is assumed that there is an unspecified monotone function describing the relationship between the safety loading of premium and the time-varying claim arrival rate. Hence, in addition to the investment control, the premium rate can be served as a control variable in the optimization problem. Specifically, the problem is investigated in two cases: (i) maximizing the expected utility of terminal wealth, and (ii) minimizing the probability of ruin respectively. In both cases, some properties of the value functions are derived, and closed-form expressions for the optimal policies and the value functions are obtained. The results show that the optimal investment policy and the optimal premium control policy are dependent on each other. Most interestingly, as an example, we show that the nonlinear diffusion model reduces to a diffusion model with a quadratic drift coefficient when the function associated with the premium rate and the claim arrival rate takes a special form. This example shows that the model of study represents a class of nonlinear stochastic control risk model. 展开更多
关键词 cara utility dependent control policies Hamilton-Jacobi-Bellman (HJB) equation INVESTMENT premium control
原文传递
Who Wants to Be Informed-Less Risk Aversion or More Risk Aversion?
2
作者 高健 张丽宏 宋逢明 《Tsinghua Science and Technology》 SCIE EI CAS 2011年第1期69-73,共5页
Information is an important issue in financial markets since information advantage leads to increased profits. This paper investigates whether those with less risk aversion or more risk aversion would like to be infor... Information is an important issue in financial markets since information advantage leads to increased profits. This paper investigates whether those with less risk aversion or more risk aversion would like to be informed when there is private information which can be acquired for a certain cost. The CARA utility function and normal return assumptions were used to get the closed form solution of the absolute risk aversion coefficient which is indifferent to whether a person wants to be informed, which shows that the less risk aversion investor would like to be informed. The results further show that in financial markets, those people with lower risk aversion (for instance, institutional investors) are more favorable to information and price discovery of risky assets, which is consistent with intuition as well as empirical studies. 展开更多
关键词 cara utility information risk aversion informed trader
原文传递
上一页 1 下一页 到第
使用帮助 返回顶部