论文摘要
本文中,保险人被许可投资于三种金融资产:一个可违约公司零息债券,一个无违约风险的储蓄账户和一个股票.其中,股票的即时回报率由Ornstein-Uhlenbeck过程来刻画.保险人的目标是最大化终值财富的指数期望效用.我们将此优化问题分解为违约前和违约后两个问题,通过动态规划原理,然后求解对应的HJB方程,得到了最优策略和最优值函数的显式解.
论文目录
文章来源
类型: 期刊论文
作者: 马建静,王过京
关键词: 可违约资产,再保险与投资,过程,方程
来源: 应用概率统计 2019年02期
年度: 2019
分类: 基础科学,经济与管理科学
专业: 数学,金融,证券,投资
单位: 苏州大学金融工程研究中心,山东工商学院数学与信息科学学院
基金: supported by the National Natural Science Foundation of China(Grant Nos.11771320,11871050),the Shandong Natural Science Foundation(Grant No.ZR2013AM011)
分类号: O211;F830.91
页码: 111-125
总页数: 15
文件大小: 529K
下载量: 66
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