| 破产准则下修正Heston波动的最优再保-投资决策 |
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| 引用本文： | 孙宗岐,刘宣会. 破产准则下修正Heston波动的最优再保-投资决策[J]. 贵州师范大学学报(自然科学版), 2014, 32(5): 94-97 |
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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资助项目 |
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| 摘 要： | 为了研究修正Heston随机波动率下保险公司最优再保-投资策略问题,在盈余水平服从扩散过程的假设下,运用随机动态规划原理,建立最小化破产概率准则的HJB方程,通过求解方程得到最优再保-投资策略和最小化破产概率的显式解,并分析了随机波动率对最优投资决策,最优比例再保险策略和最小破产概率的影响。
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| 关 键 词： | 修正Heston随机波动模型 扩散过程 HJB方程 破产概率 再保险策略 投资策略 |
Optimal Reinsurance-investment Strategies with Correction Heston stochastic volatility model Under bankruptcy probability standard |
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| SUN Zongqi,LIU Xuanhui. Optimal Reinsurance-investment Strategies with Correction Heston stochastic volatility model Under bankruptcy probability standard[J]. Journal of Guizhou Normal University(Natural Sciences), 2014, 32(5): 94-97 |
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| Authors: | SUN Zongqi LIU Xuanhui |
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| Affiliation: | 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 an insurance company that combines the correction Heston stochastic volatility model is studied in this paper.Under the criterion of minimizing the insurance＇ s ruin probability,the optimal investment choice model was established using dynamic programming principle The optimal analytic solutions of the optimal investment approach and the minimizing ruin probability were obtained by solving the HJB equation..Finally,the relationship between the stochastic volatility and the Optimal Financial Approach was analyzed. |
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| Keywords: | correction Heston stochastic volatility model diffusion processes HJB equation ruin probability reinsurance approach investment approach |
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