| 基于生存概率的保险基金最优投资策略研究 |
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| 引用本文： | 高建伟.基于生存概率的保险基金最优投资策略研究[J].经济数学,2008,25(3). |
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| 作者姓名： | 高建伟 |
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| 作者单位： | 华北电力大学工商管理学院,北京,102206 |
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| 基金项目： | 国家自然科学基金
，
北京市自然科学基金
，
国家社会科学基金
，
北京市优秀人才培养基金
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| 摘 要： | 利用破产理论和随机控制理论研究保险基金最优投资策略,建立生存概率最大化的目标函数,得到最优投资策略满足的随机微分方程;在初始金逼近0时得到保险基金的最优投资策略的显示解;采用递推算法,得到初始准备金为任意值时的最优投资策略.
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| 关 键 词： | 随机控制理论 几何布朗运动 HJB方程 保险基金 破产理论 生存概率 |
THE OPTIMAL STRATEGY RESEARCH OF INSURANCE FUND BASED ON SURVIVAL PROBABILTY |
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| Gao Jianwei.THE OPTIMAL STRATEGY RESEARCH OF INSURANCE FUND BASED ON SURVIVAL PROBABILTY[J].Mathematics in Economics,2008,25(3). |
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| Authors: | Gao Jianwei |
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| Institution: | Gao Jianwei (School of Business Administration,North China Electric Power University,Beijing,102206,China) |
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| Abstract: | In this paper,using the theory of ruin and stochastic optimal control,this paper derives the stochastic differential equation of optimal investment strategy which should be satisfied by converting the objective function of the optimal investment strategy problem given the condition of the initial reserve nearly approaching zero.Furthermore,the optimal investment strategy problem is concluded under the condition of the initial reserve approaching random value by using step-by-step arithmetic. |
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| Keywords: | Stochastic control theory geometric Brownian motion Hamilton-Jacobi-Bellman equation insurance fund ruin theory survival probability |
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