CAJ | 학술논문

在不确定的市场环境下，运用微分博弈理论，建立了带有负债的保险公司与市场的二人零和随机微分博弈风险模型。假定负债过程服从带漂移的布朗运动且与股票价格存在相关性，且保险公司以终值财富期望效用最大化为目标，研究保险公司的投资组合优化问题。应用线性-二次控制方法，在指数效用下，给出保险公司的最优投资策略，市场策略，以及最优策略下终值财富的值函数。
재불학정적시장배경하，운용미분박혁이론，건립료대유부채적보험공사여시장적이인령화수궤미분박혁풍험모형。가정부채과정복종대표이적포랑운동차여고표개격존재상관성，차보험공사이종치재부기망효용최대화위목표，연구보험공사적투자조합우화문제。응용선성-이차공제방법，재지수효용하，급출보험공사적최우투자책략，시장책략，이급최우책략하종치재부적치함수。
In the uncertain market env ironment, a two-person ,zero-sum, stochastic differential game risk model between market and an insurer who faces liability is established by using a differential game theory. In the model,the insurer's portfolio optimization problem is studied,assuming that the liability process follows Brownian motion with drift and is completely correlated with stock prices,and the aim of the insurer is to maximize the expected utility of terminal wealth. With the exponential utility function, the insurer's optimal investment strategies, the best marketing strategies and the value function of terminal wealth under the best strategies are obtained by applying linear-quadratic control method.