西北师范大学学报（自然科学版）2012，Vol.48Issue(3)：24-31,8.
风险模型的最优投资和再保险
Optimal investment and reinsurance for risk model
摘要
Abstract
The optimal investment and reinsurance policy are studied for jump-diffusion risk model and diffusion risk model. In the two risk models, premium income is modeled hy a compound Poisson process, it is assumed that the investor can invest in a risk-free asset and a risky asset. The risky asset follows a jump-diffusion process which modeled by a compound Poisson process. In diffusion risk model, both stochastic interest rate and stochastic volatility are discussed. For the two models, the closed form expressions of the strategy and the value function are obtained, which are optimal in the sense of maximizing the expected utility terminal.关键词
跳—扩散风险模型/扩散风险模型/Hamilton-Jacobi-Bellman方程/随机保费/随机利率/随机波动Key words
jump-diffusion risk model/ diffusion risk model/ Hamilton-Jacobi-Bellman equation/ stochastic premium/ stochastic interest/ stochastic volatility分类
数理科学引用本文复制引用
杨鹏,林祥..风险模型的最优投资和再保险[J].西北师范大学学报（自然科学版）,2012,48(3):24-31,8.基金项目
国家自然科学基金资助项目(10671212,10771216) （10671212,10771216）
