随机环境下变比例投资的最优策略和破产概率论文.docx

南京航空航天大学硕士学位论文摘要随着金融市场的发展，保险公司面临着很大的竞争和挑战，单纯依靠传统承保业务带来的利润逐渐减少。 因此，保险公司将对外投资作为保险经营的一个重要环节。 保险投资成为现代保险公司生存与发展的重要支柱。 传统意义上的经典风险模型在很大程度上已经无法模拟现实的风险状况，所以，带投资的风险模型已经成为现代精算界和数学界研究的热门问题。 又由于不同季节保费收入多寡不同，索赔的时间周期不同，从而保费、索赔、投资利润等均是变化的，所以，常数保费率已经不能满足上述需求。 为了解决这个问题，本文着重研究保费收取由马氏链调控，索赔累计过程为复合泊松过程的变比例投资风险模型。 主要内容和完成结果如下：一、首先对风险理论及其发展做了综述，介绍了经典风险模型及相关结论，并对一些推广风险模型做了介绍，然后给出了论文的研究内容和结构。二、给出了随机环境下变比例投资的风险模型，并利用 It?’s 公式给出了该模型下生存概率的 Bellman 方程。三、研究 Bellman 方程中的参数，即投资策略 Ki?? x? ,考虑当生存概率最大时，投资策略的取值情况，即最优策略的取值。四、推出在最优策略下的积分微分方程，证明解的存在性，并求出积分微分方程的数值解。关键词: 破产概率，积分微分方程，It?’s 公式，马氏链，最优策略，数值解i随机环境下变比例投资的最优策略和破产概率AbstractWith the development of financial markets, insurance companies face a lot ofcompetition and challenges. And business profits simply relying on the traditionalunderwriting reduce gradually. Therefore, the insurance companies will makeinvestment as an important aspect. Investment has become a pillar for the survivaland development of an insurance company. Classical risk model has not simulatedthe realistic situation of risk. So the model with investment has become a hot issue inthe field of the modern actuarial science and mathematics. Also, because both of theamounts of premium incomes in different seasons and the claim periods are different,the premiums, claims and investment returns are different. And constant premiumrates will not meet the actual demands. To solve this problem, this paper focuses onthe model of investment with variable proportion and the premium controlled by theMarkov chain, which claims process is a compound Poisson process. The maincontents and achievements are as follows:1. At first, we introduce the background of risk theory and its development.Then, classical risk model, its promotion and the relevant conclusions are introduced.And we present the contents and structure of this paper.2. We give the risk model with random environment and the investment ofvariable proportion. And we conclude the Bellman equation of survival probability,using It?’s formula.