摘要
考虑受动态VaR约束的具有随机Stein-Stein波动率的保险公司最优投资策略问题,假定保险公司盈余服从扩散过程,在最小化保险公司破产概率准则下,使用动态规划原理建立受动态VaR约束的保险公司最优投资组合选择模型,通过求解HJB方程得到最优投资决策和最小破产概率的显示解.
Under the hypothesis that the insurance＇s reserve price follows a diffusion process,an optimal portfolio problem for the insurance company that combined a stochastic volatility of stein-stein model was studied.Based on the criterion of minimizing the insurance＇s ruin probability,the optimal investment choice model was established using dynamic programming principle under dynamic VaR constraint.The optimal analytic solutions of the optimal investment approach and the minimizing ruin probability were obtained by solving the HJB equation.
出处
《湖北大学学报（自然科学版）》
CAS
2014年第6期537-542,共6页
Journal of Hubei University：Natural Science
基金
陕西省教育厅自然科学基金(2013jk0594)资助
