%0 Journal Article
%T Optimal investment decision for insurer in a jump-diffusion market<br>跳跃扩散市场的最优保险投资决策
%A GUO Wen-jing
%A ZHAO Cheng-guo
%A YUAN Jian-hui
%A <br>郭文旌
%A 赵成国
%A 袁建辉
%J 系统工程理论与实践
%D 2011
%I 
%X Assume that the surplus of an insurer follows the compound Poisson risk process and the insurer would invest its surplus in a financial market,which consists of one risk-free bond and n risky assets,whose prices follow an n-dimensional jump-diffusion process.The optimal investment strategy under the meanvariance principle for the insurer is studied by the stochastic control approach.The closed and explicit formulas for the optimal investment strategy and the efficient frontier are derived.Unlike optimal str...
%K premium rate
%K claim arrival intensity
%K compound Poisson risk process
%K jump-diffusion market
%K optimal investment strategy
%K efficient frontier<br>保费率
%K 索赔强度
%K 复合过程
%K 跳跃扩散市场
%K 最优投资策略
%K 有效边界
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=06EBE0FD4AE307DF50BC8C7C70B84D98&yid=9377ED8094509821&vid=4AD960B5AD2D111A&iid=E158A972A605785F&sid=762CFFBBDED11937&eid=8D71AF42ACD39979&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=21