| 王后春,崔玉乐.基于指数效用函数的保险基金投资决策及保费确定[J].安徽建筑大学学报,2014,22(3):87-90 |
| 基于指数效用函数的保险基金投资决策及保费确定 |
| Investment Decision and Premium Calculation for Insurer Based on Exponential Utility Function |
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| DOI：10.11921/j.issn.2095-8382.20140320 |
| 中文关键词: 复合泊松过程 跳跃扩散风险模型 指数效用函数 最优投资 保费 |
| 英文关键词: compound Poisson process jump-diffusion risk model exponential utility function optimal investment premium |
| 基金项目:安徽高校省级自然科研项目（KJ2012Z050）；安徽高校省级大学生创新创业训练项目（AH201310878240） |
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| 中文摘要: |
| 假定保险公司盈余全部投资于一类风险资产和一类无风险资产，且风险资产价格服从几何布朗运动，索赔总量服从复合泊松过程。就这类跳跃扩散风险模型的情形，研究保险基金的最优投资策略选择及保费确定问题。在期望终期财富指数效用最大化目标下，利用随机控制原理，通过求解HJB方程，获得最优投资策略的显示解。根据相应的目标函数值，在保险公司是风险中性的假设下，给出趸缴保费计算公式。 |
| 英文摘要: |
| It is assumed that the insurer invests in one risk asset and one risk-free asset where the risk asset follows the geometric Brownian motion and the aggregate claim amount process is compound Poisson process. Under this jump-diffusion risk model, the optimal investment decision of insurance funds and premium calculation for insurance company are considered. To max terminal wealth utility, the explicit optimal investment strategy is obtained by applying stochastic control theory and solving the corresponding HJB equation. Finally, the single premium calculation formula is given in the case where the insurance company is risk neutral. |
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