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近年来,最优保险投资问题吸引了越来越多的注意。一般这个问题是在连续时间框架下来研究的。本文针对这一问题建立离散时间的最优控制模型。应用动态规划原理求解模型对应的近似问题,得到了最优投资策略和投资有效边界的解析表达形式。本文得到的最优投资策略和投资有效边界均依赖于承保参数。通过数值例子分析了承保参数对最优投资策略和有效边界的影响。
In recent years, the optimal insurance investment has attracted more and more attention. This problem is generally studied in a continuous time frame. In this paper, an optimal control model of discrete time is established for this problem. Applying the dynamic programming principle to solve the approximate problem of the model, the optimal investment strategy and the analytic expression of the effective investment boundary are obtained. The optimal investment strategy and effective investment boundary obtained in this paper depend on the underwriting parameters. The numerical example analyzes the influence of underwriting parameters on the optimal investment strategy and effective boundary.