CAJ | 학술논문

假设一个保险公司为了最大化终端财富的效用而进行对一个新业务的投资.原来的业务和新的业务都利用复合Poisson过程来描述.通过利用Hamilton-Jacobi-Bellman(HJB)方程,得到了最优值函数和最优策略的解析解.所得结果很明确使得它对实践有很好的指导作用.
가설일개보험공사위료최대화종단재부적효용이진행대일개신업무적투자.원래적업무화신적업무도이용복합Poisson과정래묘술.통과이용Hamilton-Jacobi-Bellman(HJB)방정,득도료최우치함수화최우책략적해석해.소득결과흔명학사득타대실천유흔호적지도작용.
The insurance company is allowed to invest in new business, and the aim is to maximize the exponential utility of its terminal wealth. The old business and new business are both modelled by compound poisson processes. By using the corresponding Hamilton-Jacobi-Bellman (HJB) equation, the closed-form expressions to the optimal value function and optimal control are derived. These results provide good guidance in practice.