动态VaR约束下Stein-Stein波动的保险最优决策.pdfVIP

Vo l. 36 No.6 第 36 卷第6 期 湖北大学学报〈自然科学版) 2014 年 11 月 JOllmal of Hllbei University(Natllral Science) Nov. ,2014 文章编号:1000 - 2375(2014)06 - 0537 - 06 动态 VaR 约束下 Stein-Stein 波动的保险最优决策 孙宗歧1 ，刘宣会z (1.西安思源、学院高数教研室，陕西西安 710038;2. 西安工程大学理学院，陕西西安 710048) 摘要:考虑受动态 VaR约束的具有随机Stein-Stei n 波动率的保险公司最优投资策略问题，假定保险公司盈余服从 扩散过程，在最小化保险公司破产概率准则下，使用动态规划原理建立受动态 VaR约束的保险公司;除优投资组合选择 模型，通过求解 HJB 方程得到最优投资决策和最小破产概率的显示解. 关键词:动态 VaR约束;Stein-Stei n 波动率;破产概率;投资策略;随机 Lagrange 函数; K罚点 中图分类号: 0211. 63 文献标志码:A 001: 10.3969/ j.iss n. 1000-2375.2014.06.011 Optimal approach for insurance company with Stein-Stein stochastic volatility model under dynamic VaR constraint 1 2 SUN Zongqi ,LIU X uanhu i ( 1. Department of Mathematics , Xi an SiYllan University , Xi an 710038 , China; 2. College of Science, Xi an Polytechnic Universi ty，沽an 710048 , China ) Abstract: Under t he hy pothesis t hat t he insurances reserve price follows a diffusion process , an optimal portfolio probl em for t he insurance company that combined a stochastic volatility of s t ein-stei n model was studied. Based on the criterion of m inimizing t he insurances ruin probability , the optimal investment choice model was establi shed using dynamic programming principle under dynamic VaR constraint. The optimal analytic solutions of the optimal investment approach and t he minimizing ruin probability were obtained by solving the HJB equation. Key words : dynamic VaR constrain; Stei n- Stein stochastic volatility model ; ruin probab ili ty; investme nt approach ; stochastic Lagrange functio l1