Optimal Investment Policies for an Insurer with Foreign Exchange Rate

摘要：

　　In this paper,we consider an insurer whose surplus is modeled by a Brownian motion.In addition,the insurer is allowed to invest in two currency markets.We study the optimal investment decision for an insurer who invests surplus into domestic risk-free asset and foreign risky asset.Under the constraint of no-shorting,we think about the optimization problem: the problem of minimizing the probability of ruin.By solving the corresponding Hamilton-JacobiBellman equations,we obtain the optimal investment policy.

关键词： Hamilton-Jacobi-Bellman equation Optimal strategy Value function Probability of ruin

作者: Qianqian Zhou

作者单位: School of Mathematical Sciences,Nankai University,Tianjin,300071

会议类型: 国内会议

会议名称: 中国交叉科学学会第17届学术年会

会议地点: 海拉尔

会议语种:英文

页码: 97-101

在线出版日期: 2018-08-05（万方平台首次上网日期，不代表论文的发表时间）