| 最佳投资策略下投资额函数的渐近性质 |
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| 引用本文： | 刘立华,邹捷中.最佳投资策略下投资额函数的渐近性质[J].数学理论与应用,2006,26(4):33-35. |
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| 作者姓名： | 刘立华 邹捷中 |
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| 作者单位： | 中南大学数学科学与计算技术学院 410075 |
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| 摘 要： | 本文考虑一个经典风险模型,且允许保险公司投资股票市场,通过选择适当的投资策略使破产概率达到最小,并求出当分布函数F(x)是正则变化函数时,投资额函数A(x)的近似表达式.
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| 关 键 词： | 破产概率 正则变化 最佳投资 近似性 |
| 收稿时间： | 2005-08-30 |
| 修稿时间： | 2005-08-30 |
Asymptotics Behaviour of Optimal Investment Amount Function |
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| Liu Lihua ,Zou Jiezhong.Asymptotics Behaviour of Optimal Investment Amount Function[J].Mathematical Theory and Applications,2006,26(4):33-35. |
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| Authors: | Liu Lihua Zou Jiezhong |
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| Institution: | School of mathematic and compute technology central south university,410075 |
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| Abstract: | We consider a classical risk model,where the company is allowed to invest their money in the stock market.the ruin probability of this risk process is minimized by the choice of a suitable investment strategy.We also find the asymptotics of A(x) when the distribution function F(x) with regularly varying tails. |
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| Keywords: | ruin probabilities regularly varying optimal investment asymptotics behaviour |
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