【摘要】 本文主要研究保险基金投资中带有随机消费的期望终端资产效用问题,在期望终端财富CARA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,获得了带有随机消费且随机消费过程分别与风险资产过程和盈余过程相关的最优投资的解析解,结论表明,消费与风险资产和盈余的相关性对保险公司最优决策具有影响.更多还原

【Abstract】 We discuss the portfolio selection problem with random consumption of an insurer in the sense of maximizing the expected utility of terminal wealth.By applying the stochastic control theory and solving the corresponding HJB equation,we obtain an explicit optimal strategy for the CARA utility and derive a corresponding value function.It is shown that the proposed optimal strategy is influenced by the correlation coeffcients of random consumption and risky assets,consumption and underwriting risk,respectively.更多还原