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| 摘要: |
| 本文研究了延迟索赔风险模型最小化破产概率的最优投资决策.首先利用鞅中心极限定理将风险过程逼近为伊藤扩散过程,在此基础上将盈余投资于风险市场和无风险市场,采用随机马尔可夫控制理论将其转化为相应的Hamilton-Jacobi-Bellman方程,得到了最优投资策略. |
| 关键词: 延迟风险模型 鞅中心极限定理 扩散逼近 最优投资 Hamilton-Jacobi-Bellman 方程 |
| DOI： |
| 分类号:F840.32 |
| 基金项目:国家自然科学基金项目（面上项目，重点项目，重大项目）, |
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| OPTIMAL INVESTMENT STRATEGY FOR RISK MODEL OF DELAYED CLAIMS |
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xiaohongmin,liuyuedi
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| Abstract: |
| In this paper, we study the optimal investment strategy of minimizing the ruin probability in the delayed risk model. Firstly, using martingale center limit theorem, the risk process is approximated to an Ito diffusion process .Then the company invest its surplus into a risk market and a risk-free market. By using stochastic markov control theory, it is converted into the corresponding Hamilton-Jacobi-Bellman equation, the optimal investment strategy is obtained. |
| Key words: delayed risk model martingale center limit theorem diffusion approximation investment strategy Hamilton-Jacobi-Bellman equation |
