基于跳跃扩散过程的保险资金最优投资模型研究
发布时间：2019-03-15 22:30
【摘要】：保险公司的盈余为跳跃扩散过程,保险人投资于债券和股票,且股票的价格服从跳跃扩散过程的最优投资组合。在均值-方差准则下通过随机最优控制方法,建立并求解保险资金投资模型的HJB方程,获得了保险资金最优投资模型和有效边界的闭式解,并进行了数值模拟。结果显示,投资于风险证券的资金量与初始资本金并不是简单的正比例关系。
[Abstract]:The surplus of the insurance company is the jump diffusion process, the insurer invests in the bond and the stock, and the price of the stock obeys the optimal portfolio of the jump diffusion process. Under the mean-variance criterion, the HJB equation of the insurance capital investment model is established and solved by the stochastic optimal control method. The closed form solution of the insurance fund optimal investment model and the effective boundary is obtained, and the numerical simulation is carried out. The results show that the amount of capital invested in venture securities is not a simple proportional relationship with the initial capital.
【作者单位】： 厦门大学经济学院金融系;
【分类号】：F224;F842
[Abstract]:The surplus of the insurance company is the jump diffusion process, the insurer invests in the bond and the stock, and the price of the stock obeys the optimal portfolio of the jump diffusion process. Under the mean-variance criterion, the HJB equation of the insurance capital investment model is established and solved by the stochastic optimal control method. The closed form solution of the insurance fund optimal investment model and the effective boundary is obtained, and the numerical simulation is carried out. The results show that the amount of capital invested in venture securities is not a simple proportional relationship with the initial capital.
【作者单位】： 厦门大学经济学院金融系;
【分类号】：F224;F842
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