|
| 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问题.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，获得了最优投资策略的显式表达式.得到的结果推广了延迟索赔风险模型的研究. |
| 关键词: 延迟风险模型 鞅中心极限定理 最优投资 Hamilton-Jacobi-Bellman方程 |
| DOI： |
| 分类号:O211.67 |
| 基金项目:国家自然科学基金项目（71261023）. |
|
| OPTIMAL INVESTMENT STRATEGY FOR RISK MODEL OF DELAYED CLAIMS |
|
XIAO Hong-min,LIU Yue-di,LIU Ai-ling
|
| Abstract: |
| In this paper, we study the optimal investment strategy of minimizing the ruin probability in the delayed risk model. By using martingale center limit theorem, the risk process is approximated to an Ito diffusion process. On the basis of this, the company invest its surplus into a risk market and a risk-free market. The stochastic Markov control theory is used to convert into the corresponding Hamilton-Jacobi-Bellman equation, and explicit expression of optimal investment strategy is obtained. This result enriches the research of delayed claims risk model and has important reference value for risk management and control of insurance companies. |
| Key words: delayed risk model martingale center limit theorem investment strategy Hamilton-Jacobi-Bellman equation |
