| 动态VaR约束下Stein-Stein波动的保险最优决策 |
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| 引用本文： | 孙宗岐,刘宣会.动态VaR约束下Stein-Stein波动的保险最优决策[J].湖北大学学报(自然科学版),2014,36(6):537-542. |
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| 作者姓名： | 孙宗岐 刘宣会 |
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| 作者单位： | 1. 西安思源学院高数教研室,陕西西安,710038
2. 西安工程大学理学院,陕西西安,710048 |
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| 基金项目： | 陕西省教育厅自然科学基金 |
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| 摘 要： | 考虑受动态VaR约束的具有随机Stein-Stein波动率的保险公司最优投资策略问题,假定保险公司盈余服从扩散过程,在最小化保险公司破产概率准则下,使用动态规划原理建立受动态VaR约束的保险公司最优投资组合选择模型,通过求解HJB方程得到最优投资决策和最小破产概率的显示解.
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| 关 键 词： | 动态VaR约束 Stein-Stein波动率 破产概率 投资策略 随机Lagrange函数 K-T点 |
Optimal approach for insurance company with Stein-Stein stochastic volatility model under dynamic VaR constraint |
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| SUN Zongqi,LIU Xuanhui.Optimal approach for insurance company with Stein-Stein stochastic volatility model under dynamic VaR constraint[J].Journal of Hubei University(Natural Science Edition),2014,36(6):537-542. |
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| Authors: | SUN Zongqi LIU Xuanhui |
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| Institution: | SUN Zongqi;LIU Xuanhui;Department of Mathematics,Xi’an Siyuan University;College of Science,Xi’an Polytechnic University; |
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| Abstract: | Under the hypothesis that the insurance＇s reserve price follows a diffusion process,an optimal portfolio problem for the insurance company that combined a stochastic volatility of stein-stein model was studied.Based on the criterion of minimizing the insurance＇s ruin probability,the optimal investment choice model was established using dynamic programming principle under dynamic VaR constraint.The optimal analytic solutions of the optimal investment approach and the minimizing ruin probability were obtained by solving the HJB equation. |
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| Keywords: | dynamic VaR constrain Stein-Stein stochastic volatility model ruin probability investment approach stochastic Lagrange function K-T point |
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