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考虑保险公司实业项目投资问题.假定1)保险公司可以选择在某一时刻投资一实业项目(Real investment),该项投资可以为保险公司带来稳定的资金收入而不影响其风险;2)保险公司可以将盈余资金投资于证券市场,该市场包含一风险资产.目标是通过最小化破产概率来确定保险公司实业项目投资时间和风险资产的投资金额.运用混合随机控制-最优停时方法,得到值函数的半显式解,进而得到保险公司的最佳投资策略:以固定金额投资证券市场;当保险公司盈余高于一定额度(称为投资门槛)时进行项目投资,并降低风险资产投资金额.最后采用数值算例分析了不同市场环境下投资门槛与投资金额,投资收益率之间的关系.结果表明:1)项目投资所需金额越少、收益率越高,则项目投资的门槛越低;2)市场环境较好时(牛市)项目的投资门槛提高,保险公司应较多的投资于证券市场;反之,当市场环境较差时(熊市)投资门槛降低,保险公司倾向于实业项目投资.
Consider the issue of investment in industrial projects of insurance companies: Assumption 1) An insurance company may choose to invest in a real investment project at a time, which can bring steady financial income to the insurance company without affecting its risk; 2) Insurance The company can invest the surplus funds in the stock market, which contains a risk asset.The objective is to determine the investment time of the venture capital industry project and the risk assets by minimizing the probability of bankruptcy.Using the hybrid stochastic control - the optimal stopping method, Get the semi-explicit solution of the value function, and then get the best investment strategy for insurance company: invest the securities market with a fixed amount; when the insurance company surpasses a certain amount (called the investment threshold), invest in the project and reduce the investment in risky assets Finally, numerical examples are used to analyze the relationship between the investment threshold and the investment amount and the return rate of investment under different market conditions.The results show that: 1) the smaller the amount of investment needed for the project, the higher the rate of return, then the project investment threshold Lower; 2) when the market environment is better (bull market) project investment threshold increased, insurance companies should invest more in the securities market; the other hand , When the market environment is poor (bear market) lower investment threshold, insurance companies tend to invest in industrial projects.