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基于均值-方差准则的保险公司最优投资策略
引用本文:谷爱玲,曾艳珊.基于均值-方差准则的保险公司最优投资策略[J].数学的实践与认识,2012,42(22):24-30.
作者姓名:谷爱玲  曾艳珊
作者单位:1. 广东工业大学应用数学学院,广东广州,510006
2. 仲恺农业工程学院计算科学学院,广东广州,510225
摘    要:研究了保险公司在均值-方差准则下的最优投资问题,其中保险公司的盈余过程由带随机扰动的Cramer-Lundberg模型刻画,而且保险公司可将其盈余投资于无风险资产和一种风险资产.利用随机动态规划方法,通过求解相应的HJB方程,得到了均值方差模型的最优投资策略和有效前沿.最后,给出了数值算例说明扰动项对有效前沿的影响.

关 键 词:最优投资策略  均值-方差准则  Hamilton-Jacobi-Bellman方程

Optimal Investment Strategy for an Insurer Under Mean-Variance Criterion
GU Ai-ling , ZENG Yan-shan.Optimal Investment Strategy for an Insurer Under Mean-Variance Criterion[J].Mathematics in Practice and Theory,2012,42(22):24-30.
Authors:GU Ai-ling  ZENG Yan-shan
Institution:1.Faculty of Applied Mathematics,Guangdong University of Technology,Guangzhou 510006,China) (2.School of Mathematics and Computational Science,Zhongkai University of Agniculture and Engineering, Guangzhou 510225,China)
Abstract:In this paper,optimal investment strategy for an insurer under mean-variance criterion is discussed,where the surplus process of the insurer is a kind of perturbed classical risk model and the insurer can invest it's surplus on risk-less asset and a kind of risky asset. By solving the Hamilton-Jacobi-Bellman equations,we obtain that optimal investment strategy and the efficient frontier for the mean-variance problem.At last,we present numerical examples to show how the perturbed term effects the efficient frontier.
Keywords:optimal investment strategy  mean-variance criterion  Hamilton-Jacobi-Bellman equation
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