| Stein-Stein波动率下保险最优投资 |
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| 引用本文： | 孙宗岐,李静.Stein-Stein波动率下保险最优投资[J].宝鸡文理学院学报(自然科学版),2013,33(3):15-17. |
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| 作者姓名： | 孙宗岐 李静 |
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| 作者单位： | 西安思源学院数学教研室,陕西西安,710038;陕西必康制药集团有限公司财务部,陕西西安,710075 |
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| 摘 要： | 目的研究随机波动率下保险公司最优投资策略问题。方法使用随机波动率Stein-Stein模型，运用动态规划原理方法。结果假设盈余水平服从扩散过程，在最小化破产概率准则下建立并求解了HJB方程。结论通过求解方程得到了最优投资决策和最小化破产概率的解析解。
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| 关 键 词： | Stein-Stein随机波动模型 扩散过程 HJB方程 破产概率 投资策略 |
Optimal insurance investment under Stein-Stein stochastic volatility model |
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| SUN Zong-qi,LI Jing.Optimal insurance investment under Stein-Stein stochastic volatility model[J].Journal of Baoji College of Arts and Science(Natural Science Edition),2013,33(3):15-17. |
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| Authors: | SUN Zong-qi LI Jing |
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| Institution: | 1. Department of Mathematics, Xi＇an Siyuan University, Xi＇an 710038, Shaanxi, China; 2. Accounting Department, Shaanxi Bicon Pharmaceutical Group Co. Ltd. , Xi＇an 710075, Shaanxi, China) |
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| Abstract: | Objective---To research into the optimal investment strategy under stochastic volatility for an insurance company. Methods--Dynamic programming principle and the Stein-Stein stochastic volatility model are adopted to investigate the foresaid aim. Results--Based upon the hypothesis that the insurance＇s surplus follows a diffusion process, the HJB equation is constructed and deduced on the criterion of insurance＇s minimum ruin probability. Conclusion--The analytic solutions of the optimal investment strategy and the minimum ruin probability were obtained by solving the HJB equation. |
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| Keywords: | Stein-Stein stochastic volatility model diffusion processes HJB equation ruin prob-ahility investment strategy |
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