两种货币市场下保险公司的最优投资策略

Optimal Investment Strategy for an Insurer in Two Currency Markets

  • 摘要: 本文研究了保险公司的最优投资问题,其中保险公司的盈余过程服从经典的Cramer-Lundberg模型的扩散逼近。由于保险公司可以投资到国外的金融市场,因此,在本文中加入了汇率模型。在允许出售和借贷的条件下,研究了保险公司终端财富指数期望效应最大化问题。通过求解相应的Hamilton-Jacobi-Bellman方程,得到了最优投资策略和价值函数。最后给出了数值分析。

     

    Abstract: In this paper, we study the optimal investment problem of an insurer whose surplus process follows the diffusion approximation of the classical Cramer-Lundberg model. Investment in the foreign market is allowed, and therefore, the foreign exchange rate model is incorporated. Under the allowing of selling and borrowing, the problem of maximizing the expected exponential utility of terminal wealth is studied. By solving the corresponding Hamilton-Jacobi-Bellman equations, the optimal investment strategies and the value functions are obtained. Finally, numerical analysis is presented.

     

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