保险公司中的最优分红和投资组合及其数值计算

上海大学学报(自然科学版)

保险公司中的最优分红和投资组合及其数值计算

涂洪，朱正佑

上海大学上海市应用数学和力学研究所，上海 200072

收稿日期:2006-10-17 修回日期:1900-01-01 出版日期:2008-02-28 发布日期:2008-02-28
通讯作者: 朱正佑

Optimal Dividend Paying Strategy and Optimal Asset Allocation for Insurance Companies and the Numerical Solution

TU Hong, ZHU Zheng-you

Shanghai Institute of Applied Mathematics and Mechanics, Shanghai University, Shanghai 200072, China

Received:2006-10-17 Revised:1900-01-01 Online:2008-02-28 Published:2008-02-28
Contact: ZHU Zheng-you

摘要/Abstract

摘要： 该文对保险公司的最优投资组合和最优分红策略问题进行了研究，考虑了带有由风险资产和无风险资产组成的投资组合与随机索赔过程构成的财富过程.对这一问题导出了相应的HJB方程，对方程解作了一些定性分析后，给出了方程的数值解，从而得到了最优投资比例和最优分红策略.

关键词: HJB方程, 数值解, 投资组合, 最优分红策略, 最优投资

Abstract: The optimal dividend paying strategy and optimal asset allocation for insurance companies are studied in this paper. The wealth process is modeled as a portfolio combining a risky asset and a riskless asset as well as a stochastic claim process. The corresponding HJB equation for this problem is derived. Based on a qualitative analysis of the solution, the numerical solution to the equation is obtained. The optimal asset allocation between a risky asset and a riskless asset and the optimal dividend paying strategy are derived.

Key words: HJB equation, numerical solution, optimal asset allocation, optimal dividend paying, portfolio

中图分类号:

涂洪;朱正佑. 保险公司中的最优分红和投资组合及其数值计算[J]. 上海大学学报(自然科学版).

TU Hong;ZHU Zheng-you. Optimal Dividend Paying Strategy and Optimal Asset Allocation for Insurance Companies and the Numerical Solution[J]. Journal of Shanghai University（Natural Science Edition）.

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