聚合风险模型下保险公司的投资策略与破产概率的研究.pdf

摘要 险限制下，得到了最优的混合投资策略。该策略可以使保险公司的期望总财富最 大。 最后，就保险公司投资一部分资金到股票市场，余下的一部分投资到利率为 常数的无风险债券的情形下，研究了最终破产概率。在投资为常数策略的条件下， 分别就股票价格服从几何布朗运动和更广泛的L6vy过程两种情况，利用布朗运动 的分布性质和离散化嵌入等方法，得到了破产概率和惩罚函数的积分方程，从而 给出了更精确地计算破产概率和惩罚函数的方法。 函数 Ⅱ ABSTRACT ABSTRACT ItiSwellknownthattheSUCCESSofailinsurance not onits companydependsonly insurance alsoonhowwellthe investsitsreserve．Therisksuch business，but company a facesarisesbothfrom lossesonthefinancialmarketandfrom company ponential insurance riskmodel unexpectedlyhigh claims．Consequently,anintegrated the ofthefinancialmarketsandtheinsurance aswell incorporatingdynamics portfolio astheinteractionbetweenthemisneeded．Ruin isusedinthis asa probability paper riskmeasureofaninsurance considerastochasticmodelforthewealthof company．We aninsurance whichhasthe toinvestintoa thetotal company possibility market，and insuranceclaimamountismodeleda Poisson bycompoundprocess． the intothe add interestrate classical Firstly,we discountedvalueof claimsreserveisstudiedthe modelwith outstanding by queuing functionandcharacteristicfunctionofthediscounted constantinterest．Thedistribution valueof claimsreserveina oftimeare outstanding givenperiod we all boundofdistribution momentsofthediscountedvalueof giveupper function，the cla