论文标题
在两个货币市场的保险公司对投资的最佳控制
Optimal Control of Investment for an Insurer in Two Currency Markets
论文作者
论文摘要
在本文中，我们研究了保险公司的最佳投资问题，其盈余过程遵循经典的cramer-lundberg模型的扩散近似。允许在国外市场上进行投资，因此，考虑并纳入了外汇率模型。假定外汇价格的瞬时平均增长率遵循Ornstein-Uhlenbeck过程。动态编程方法用于研究最大程度地提高终端财富的预期指数效用的问题。通过解决相关的汉密尔顿 - 雅各比 - 贝尔曼方程，获得了最佳投资策略和价值函数。最后，提出了数值分析。
In this paper, we study the optimal investment problem of an insurer whose surplus process follows the diffusion approximation of the classical Cramer-Lundberg model. Investment in the foreign market is allowed, and therefore, the foreign exchange rate model is considered and incorporated. It is assumed that the instantaneous mean growth rate of foreign exchange rate price follows an Ornstein-Uhlenbeck process. Dynamic programming method is employed to study the problem of maximizing the expected exponential utility of terminal wealth. By soloving the correspoding Hamilton-Jacobi-Bellman equations, the optimal investment strategies and the value functions are obtained. Finally, numerical analysis is presented.
