Ӧ�ø���ͳ�� 2013, 29(3) 317-329 DOI:      ISSN: 1001-4268 CN: 31-1256

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Browne(1995)��Yang��Zhang(2005)��һЩ���۵õ��ƹ�.

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Optimal Investment Strategy in a Markov-Modulated Risk Model: Maximizing the Terminal Utility
Yao Dingjun, Qian Linyi, Cheng Gongpin
School of Finance, Nanjing University of Finance and Economics; School of Finance and Statistics, East China Normal University; School of Science, China Pharmaceutical University
Abstract:

In this paper, the surplus of an
insurance company is governed by a jump-diffusion process, and it
can be invested in a financial market with one risk-free asset and
$N$ risky assets. The parameters of surplus process and the asset
price processes depend on the regime of the financial market, which
is modeled by an observable finite-state continuous-time Markov
chain. To maximize the terminal utility, we focus on finding optimal
investment strategy and solve it by using the HJB equation. Explicit
expression for optimal strategy and the corresponding objective
function are presented when the company has an exponential utility
function, some interesting economic interpretations are involved.
Some known results of Browne (1995) and Yang and Zhang (2005) are
extended.

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