| 跳-扩散风险模型的最优投资策略和破产概率研究 |
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| 引用本文： | 林祥,钱艺平.跳-扩散风险模型的最优投资策略和破产概率研究[J].经济数学,2009,26(2):1-8. |
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| 作者姓名： | 林祥 钱艺平 |
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| 作者单位： | 1. 中南大学,数学学院概率统计研究所,湖南,长沙,410075
2. 中南大学,商学院,湖南,长沙,410083 |
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| 基金项目： | 国家自然科学基金(10671212、10771216)资助 |
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| 摘 要： | 对盈余投资于金融市场的跳-扩散风险模型的最优投资策略和破产概率进行了研究，得到最优投资策略和最小破产概率的显示解，发现破产概率满足Lundberg等式．最后通过数值计算，得到最小破产概率与无风险利率，投资和相关系数之间的关系，以及无风险利率和相关系数对最优投资策略的影响．
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| 关 键 词： | 破产概率 无风险利率 最优投资策略 Hamilton—Jacobi—Bellman方程 |
RUIN PROBABILITIES AND OPTIMAL INVESTMENT STRATRGY FOR JUMP-DIFFUSION RISK MODEL |
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| LIN Xiang,QIAN Yi-ping.RUIN PROBABILITIES AND OPTIMAL INVESTMENT STRATRGY FOR JUMP-DIFFUSION RISK MODEL[J].Mathematics in Economics,2009,26(2):1-8. |
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| Authors: | LIN Xiang QIAN Yi-ping |
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| Institution: | 1.School of Mathematics;Central South University;Changsha;Hunan 410075;2.School of Business;Hunan 410083 |
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| Abstract: | The ruin probabilities and optimal investment strategy for jump-diffusion risk model were studied,and the close form expression for the minimal ruin probability and optimal investment strategy was obtained.The results show that the minimal ruin probability satisfies the Lundberg equality.The relationships between the minimal ruin probability and the risk-free rate and investment were studied,and the effects of the risk-free rate on the optimal investment strategy were investigated by numerical calculation. |
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| Keywords: | ruin probability risk-free rate optimal investment strategy Hamilton-Jacobi-Bellman equation |
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