共查询到17条相似文献,搜索用时 109 毫秒
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《应用概率统计》2016,(2)
本文在通货膨胀影响下,研究了具有再保险和投资的随机微分博弈.保险公司选择一个策略最小化终值财富的方差,而金融市场作为博弈的"虚拟手"选择一个概率测度所代表的经济"环境"最大化保险公司考虑的最小化终值财富的方差.通过保险公司和金融市场之间的这种双重博弈得到最优的投资组合.进行投资时考虑了通货膨胀的影响,通货膨胀的处理方式为:首先考虑通货膨胀对风险资产进行折算,然后再构造财富过程.通过把原先的基于均值-方差准则的随机微分博弈转化为无限制情况,应用线性-二次控制理论得到了无限制情况下最优再保险、投资、市场策略和有效边界的显式解;进而得到了原基于均值-方差准则的随机微分博弈的最优再保险、投资、市场策略和有效边界的显式解. 相似文献
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在三种目标函数下, 研究了具有随机工资的养老金最优投资问题. 第一种是均值-方差准则, 第二种基于效用的随机微分博弈, 第三种基于均值-方差准则的随机微分博弈. 随机微分博弈问题中博弈的双方为养老金计划投资者和金融市场, 金融市场是博弈的虚拟手. 应用线性二次控制理论求得了三种目标函数下的最优策略和值函数的显式解. 相似文献
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构造了一个带外生负债的连续时间均值-方差最优投资组合选择模型.假定风险资产价格的演变服从几何布朗运动,累积负债服从带漂移的布朗运动,并且市场系数恒为常数,借助随机LQ控制方法得到相应的均值-方差优化问题的最优策略和有效边界. 相似文献
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本文研究了具有再保险和投资的随机微分博弈.应用线性-二次控制的理论,在指数效用和幂效用下,求得了最优再保险策略、最优投资策略、最优市场策略和值函数的显示解,推广了文[8]的结果.通过本文的研究,当市场出现最坏的情况时,可以指导保险公司选择恰当的再保险和投资策略使自身所获得的财富最大化. 相似文献
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??Under inflation influence, this paper investigate a stochastic
differential game with reinsurance and investment. Insurance company chose a strategy
to minimizing the variance of the final wealth, and the financial markets as a game
``virtual hand' chosen a probability measure represents the economic ``environment'
to maximize the variance of the final wealth. Through this double game between the
insurance companies and the financial markets, get optimal portfolio strategies. When
investing, we consider inflation, the method of dealing with inflation is: Firstly,
the inflation is converted to the risky assets, and then constructs the wealth process.
Through change the original based on the mean-variance criteria stochastic differential
game into unrestricted cases, then application linear-quadratic control theory obtain
optimal reinsurance strategy and investment strategy and optimal market strategy as well
as the closed form expression of efficient frontier are obtained; finally get reinsurance
strategy and optimal investment strategy and optimal market strategy as well as the
closed form expression of efficient frontier for the original stochastic differential game. 相似文献
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This paper investigate a stochastic differential games for DC (defined contribution plans) pension under Vasicek stochastic interest rate. The finance market as the hypothetical counterpart, the investor as pension the leader of game. Our goal is through the game between pension plan investor and financial market, obtain optimal strategies to maximizes the expected utility of the terminal wealth. Under power utility function, by using stochastic control theory, we obtain closed-form solutions for the value function as well as the strategies. Finally, explain the research results in the economic sense, and though numerical calculation given the influence of some parameters on the optimal strategies 相似文献
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《Insurance: Mathematics and Economics》2011,48(3):278-293
In this paper we investigate an asset–liability management problem for a stream of liabilities written on liquid traded assets and non-traded sources of risk. We assume that the financial market consists of a risk-free asset and a risky asset which follows a geometric Lévy process. The non-tradeable factor (insurance risk or default risk) is driven by a step process with a stochastic intensity. Our framework allows us to consider financial risk, systematic and unsystematic insurance loss risk (including longevity risk), together with possible dependencies between them. An optimal investment strategy is derived by solving a quadratic optimization problem with a terminal objective and a running cost penalizing deviations of the insurer’s wealth from a specified profit-solvency target. Techniques of backward stochastic differential equations and the weak property of predictable representation are applied to obtain the optimal asset allocation. 相似文献
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We consider a collective insurance risk model with a compound Cox claim process, in which the evolution of a claim intensity
is described by a stochastic differential equation driven by a Brownian motion. The insurer operates in a financial market
consisting of a risk-free asset with a constant force of interest and a risky asset which price is driven by a Lévy noise.
We investigate two optimization problems. The first one is the classical mean-variance portfolio selection. In this case the
efficient frontier is derived. The second optimization problem, except the mean-variance terminal objective, includes also
a running cost penalizing deviations of the insurer’s wealth from a specified profit-solvency target which is a random process.
In order to find optimal strategies we apply techniques from the stochastic control theory. 相似文献
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In this paper we deal with contribution rate and asset allocation strategies in a pre-retirement accumulation phase. We consider a single cohort of workers and investigate a retirement plan of a defined benefit type in which an accumulated fund is converted into a life annuity. Due to the random evolution of a mortality intensity, the future price of an annuity, and as a result, the liability of the fund, is uncertain. A manager has control over a contribution rate and an investment strategy and is concerned with covering the random claim. We consider two mean-variance optimization problems, which are quadratic control problems with an additional constraint on the expected value of the terminal surplus of the fund. This functional objectives can be related to the well-established financial theory of claim hedging. The financial market consists of a risk-free asset with a constant force of interest and a risky asset whose price is driven by a Lévy noise, whereas the evolution of a mortality intensity is described by a stochastic differential equation driven by a Brownian motion. Techniques from the stochastic control theory are applied in order to find optimal strategies. 相似文献
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现实经济中,当股票价格受到一些重大信息影响而发生突发性的跳跃时,用跳扩散过程来描述股票价格的趋势更符合实际情况。基于这一观察,本文研究跳扩散模型下包含两个投资者的非零和投资组合博弈问题。假设金融市场中包含一种无风险资产和一种风险资产,其中风险资产的价格动态用跳扩散模型来描述。将该非零和博弈问题构造成两个效用最大化问题,每个投资者的目标是最大化终端时刻自身财富与其竞争对手财富差的均值-方差效用。运用随机控制理论,得到了均衡投资策略以及相应值函数的解析表达。最后通过数值仿真算例分析了模型相关参数变动对均衡投资策略的影响。仿真结果显示:当股价发生不连续跳跃,投资者在构造投资策略时考虑跳跃风险可以显著增加其效用水平;同时,随着博弈竞争的加剧,投资者为了在竞争中取得更好的表现,往往会采取更加激进的投资策略,增加对风险资产的投资。 相似文献
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本文在半鞅理论框架下,构建包括可交易风险资产、不可交易风险资产和未定权益的金融投资模型。在考虑随机通胀风险和获取部分市场信息的情形下,研究投资经理人终端真实净财富指数效用最大化问题。运用滤波理论、半鞅和倒向随机微分方程(BSDE)理论,求解带有随机通胀风险的最优投资策略和价值过程精确解。数值分析结果发现,可交易风险资产最优投资额随着预期通胀率的增加而减少,投资价值呈先增后减态势。当通胀波动率无限接近可交易风险资产名义价格波动率时,通胀风险可完全对冲,投资人会不断追加在可交易风险资产的投资额,以期实现终端真实净财富期望指数效用最大化。研究结果为金融市场的投资决策提供更加科学的理论参考。 相似文献