模型不确定性及违约风险下的最优投资问题

Abstract

Abstract:

In this paper, we investigate a stochastic portfolio optimization problem with model uncertainty and default risk. We assume that an insurer can invest his money into financial market where a savings account, a stock and a corporate bond are available, and aim to maximize the CARA utility of the terminal wealth. Furthermore, to take the model uncertainty into consideration, we formulate the optimization problem as a zero-sum stochastic differential game problem between market and the insurer. By using dynamic programming principle, we derive the Hamilton-Jacobi-Bellman-Isaacs (HJBI) equation, and then find the optimal policy under the "worst-case" scenario for both jump-diffusion model and its diffusion approximation.

Key words: Stochastic differential game, HJBI equation, Defaultable bond, Model uncertainty, CARA utility maximization

CLC Number:

O211.6

Zheng Xiaoxiao, Sun Zhongyang, Zhang Xin. Optimal Portfolio Problems for an Insurance Company Under Default Risk and Model Uncertainty[J].Acta mathematica scientia,Series A, 2016, 36(2): 362-379.

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Optimal Portfolio Problems for an Insurance Company Under Default Risk and Model Uncertainty

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