CAJ | 학술논문

为了考虑一类带消费的实业项目保险最优投资问题,假定保险公司盈余服从扩散过程,在最小破产概率准则下,使用动态规划原理建立了线性消费率下保险资金的最优投资选择模型。通过求解HJB方程得到了最优投资决策和最小破产概率的解析解,并通过分析得到最优投资策略和最小破产概率都是线性消费率的增函数,因此为了减小破产概率势必通过追加风险投资来降低风险水平。
위료고필일류대소비적실업항목보험최우투자문제,가정보험공사영여복종확산과정,재최소파산개솔준칙하,사용동태규화원리건립료선성소비솔하보험자금적최우투자선택모형。통과구해HJB방정득도료최우투자결책화최소파산개솔적해석해,병통과분석득도최우투자책략화최소파산개솔도시선성소비솔적증함수,인차위료감소파산개솔세필통과추가풍험투자래강저풍험수평。
To find optimal investment solutions for insurance of consumer projects, an optimal selection model for insurance funds investment under the linear consumption rate was established by assuming surplus from the insurance companies obey the diffusion process and following the minimum ruin probability and using dynamic programming principle. The optimal analytic solutions of the optimal investment strategy and the minimum ruin probability were obtained by solving the HJB equation, and the optimal investment strategy and the minimum ruin probability were further found to be an increasing function of the linear consumption rate. Therefore, additional venture capital had to be have to lower ruin probability and reduce risk.