| 随机利率下责任准备金的最优投资 |
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| 引用本文： | 高井贵,赵明清,吴磊. 随机利率下责任准备金的最优投资[J]. 合肥工业大学学报(自然科学版), 2009, 32(3) |
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| 作者姓名： | 高井贵 赵明清 吴磊 |
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| 作者单位： | 山东科技大学,信息科学与工程学院,山东,青岛,266510;合肥工业大学,数学系,安徽,合肥,230009 |
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| 基金项目： | 山东科技大学科学研究春蕾计划 |
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| 摘 要： | 当保险精算利率与实际利率相等时,整个保险期间收支是平衡的,基金收益应为0;文章通过对利息力累积函数采用wiener过程建模,给出责任准备金的优化投资模型,使得保险基金在原本无收益的情况下,通过优化分段投资产生最大的期望收益并分析投资的稳定性,最后用实例模拟,取得了较好的效果.
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| 关 键 词： | 线性规划 收益率 责任准备金 随机利率 |
Study of the best investment of reserve under random interest rates |
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| GAO Jing-gui,ZHAO Ming-qing,WU Lei. Study of the best investment of reserve under random interest rates[J]. Journal of Hefei University of Technology(Natural Science), 2009, 32(3) |
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| Authors: | GAO Jing-gui ZHAO Ming-qing WU Lei |
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| Affiliation: | 1.College of Information Science and Engineering;Shandong University of Science and Technology;Qingdao 266510;China;2.Dept.of Mathematics;Hefei University of Technology;Hefei 230009;China |
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| Abstract: | Earnings of reserve funds should be zero when the actuarial rate of interest is equal to the real rate of interest.In this paper,the optimal investment model of reserve deposits under random rates of interest is modeled by the Wiener process.The model can make reserve funds which might have no economic profits bring maximum expected profits by the optimal reserve deposits.A simulation example is presented and a satisfactory result is obtained. |
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| Keywords: | linear programming rate of return reserve random rate of interest |
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