MARKOV-MODULATED MEAN-VARIANCE PROBLEM FOR AN INSURER

• 作 者: 王伟 毕俊娜
• 机 构: SchoolofMathematicalSciencesandLPMCNankaiUniversity
• 出 处: 数学物理学报：B辑英文版
• 发表日期: 2011年3期
• 关键词: 马尔可夫调制 均值 方差 马尔可夫链 承保 保险公司 扩散过程 有效边界 Markov chainmean-varianceefficient strategy
• 基金项目: This work was supported by National Basic Research Program of China （973 Program） （2007CB814905）, the National Natural Science Foundation of China （10871102） and the the Research Fund for the Doctoria

In this paper, we consider an insurance company which has the option of investing in a risky asset and a risk-free asset, whose price parameters are driven by a finite state Markov chain. The risk process of the insurance company is modeled as a diffusion