荣喜民
- 教师拼音名称：Rong Ximin
- 出生日期：1963-09-06
- 性别：男
- 职称：副教授
- 所属院系：数学学院
Optimal investment with multiple risky assets for an insurer with modified periodic risk process
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- 所属单位:School of Sciences
- 发表刊物:JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
- 刊物所在地:China
- 关键字:Adjustment coefficient; modified periodic risk model; multiple risky assets; optimal investment; rui
- 摘要:This paper considers the optimal investment problem for an insurer in the sense of maximizing the adjustment coefficient of the risk process. The authors propose a modified periodic risk model in which the periodic risk process is perturbed by a standard Brownian motion. The insurer caninvest in multiple risky assets and one risk-free asset and the correlations between the risky assets and the risk process are considered. Optimal strategy is obtained explicitly, which is a function of time and related to the risk process.
- 合写作者:Zhao Hui, Rong Ximin
- 第一作者:Zhao Hui
- 论文类型:Unit Twenty Basic Research
- 通讯作者:Zhao Hui
- 论文编号:SCI: CL3AL
- 卷号:28
- 期号:4
- 页面范围:997-1014
- ISSN号:1009-6124
- 是否译文:否