THEORETICAL ANALYSIS FOR OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM

被引：0

作者：

Zhang, Xinli ^{[1
]}

Sun, Wenyu ^{[1
]}

机构：

[1] Nanjing Normal Univ, Sch Math Sci, Jiangsu Key Lab NSLSCS, Nanjing 210046, Jiangsu, Peoples R China

来源：

PACIFIC JOURNAL OF OPTIMIZATION | 2012年 / 8卷 / 03期

基金：

中国国家自然科学基金;

关键词：

Hamilton-Jacobi-Bellman equation; portfolio selection; proportional reinsurance; stochastic control; Markov chain approximation; VARIANCE PORTFOLIO SELECTION; POLICIES;

D O I：

暂无

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

This paper develops an approximation procedure for proportional reinsurance and investment problem with bounded constraints. The company's risk (and simultaneously its potential profit) is reduced through reinsurance, while in addition the company invests its surplus to a risk-free asset and in risky assets. For the given reinsurance and investment problem, we solve it based on the Markov chain approximation techniques. The numerical procedures are constructed for the utility optimization task. Under simple conditions, the convergence of the approximation sequences to the wealth process and the optimal utility function is established.

引用

页码：517 / 531

页数：15

共 26 条

[1]

[Anonymous], 1984, Approximation and Weak Convergence Methods for Random Processes, with Applications to Stochastic Systems Theory

[2] Continuous-time mean-variance portfolio selection with bankruptcy prohibition [J].