| 跳扩散风险过程的最优投资和比例再保险:期望值保费原理(英文) |
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| 引用本文： | 梁志彬.跳扩散风险过程的最优投资和比例再保险:期望值保费原理(英文)[J].南京师大学报,2009,32(1). |
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| 作者姓名： | 梁志彬 |
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| 作者单位： | 南京师范大学数学与计算机科学学院,江苏,南京,210097
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| 摘 要： | 站在保险人的立场上,讨论了期望值保费原理下,跳扩散风险过程的最优投资和比例再保险问题,得到了使终值期望效用达到最大的最优策略和值函数的近似表达式,并且得出结论:投资总比不投资好.最后,通过一些数值举例来进一步说明本文中所得的结论.
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| 关 键 词： | 随机控制 Hamilton-Jaeobi-Bellman方程 跳扩散过程 期望效用 投资 比例再保险 期望值原理 |
Optimal Investment and Proportional Reinsurance for Jump-Diffusion Risk Processes:Expected Value Principle |
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| Liang Zhibin.Optimal Investment and Proportional Reinsurance for Jump-Diffusion Risk Processes:Expected Value Principle[J].Journal of Nanjing Normal University(Natural Science Edition),2009,32(1). |
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| Authors: | Liang Zhibin |
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| Institution: | School of Mathematics and Computer Science;Nanjing Normal University;Nanjing 210097;China |
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| Abstract: | In this paper,we study,from the insurer's point of view,the optimal investment and proportional reinsurance for the jump-diffusion surplus processes.Assuming that the reinsurance premium is calculated according to the expected value principle,we obtain the closed form expressions of the strategy and the value function which are optimal in the sense of maximizing the expected utility from terminal wealth.We also conclude that the case with investment is always better than the one without investment.Some nume... |
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| Keywords: | stochastic control Hmnihon-Jaeobi-Bellman equation jump-diffusion process expected utility invest ment proportional reinsurance expected value principle |
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