| 双复合Poisson模型下的最优投资和再保险 |
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| 引用本文： | 曾吉相.双复合Poisson模型下的最优投资和再保险[J].贵州师范大学学报(自然科学版),2014(2):67-70. |
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| 作者姓名： | 曾吉相 |
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| 作者单位： | 贵州师范大学数学与计算机科学学院,贵州贵阳550001 |
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| 基金项目： | 2012年贵州师范大学学生重点项目. |
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| 摘 要： | 利用随机控制理论和HJB方程,研究了投资回报瞬时利率为Vasieck模型下的短期利率和股票市场卖空限制时的最优投资和最优非比例再保险策略。通过求解HJB方程得到了带干扰的双复合Poisson风险模型下的最优策略以及值函数的闭式解。
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| 关 键 词： | 双复合Poisson风险模型 HJB方程 Vasieck模型 卖空限制 非比例再保险 |
Optimal investment and reinsurance under the binary compound poisson model |
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| ZENG Jixiang.Optimal investment and reinsurance under the binary compound poisson model[J].Journal of Guizhou Normal University(Natural Sciences),2014(2):67-70. |
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| Authors: | ZENG Jixiang |
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| Institution: | ZENG Jixiang(School of Mathematics and Computer Science , Guizhou Normal University , Guiyang, Guizhou 550001, China) |
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| Abstract: | Utilizing stochastic control theorem and HJB equation,we study the optimal investment and non-proportional reinsurance that the instantaneous rate of investment return follows a Vasieck model and that the stock market has short-selling constraint.By solving the HJB equation,the optimal strategy and value function are given with a closed form under the perturbed binary compound Poisson model. |
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| Keywords: | binary compound Poisson Model HJB eqation vasieck model short-selling constraint non-proportional reinsurance |
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