【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.更多还原

【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.更多还原