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- W2383391751 abstract "Under the premise of the given initial reserve, this paper studied how to conduct reasonable investments with insurance company's assets. Using the theory of HJB equation in stochastic control theory, this study converted the stochastic differential equation of the total revenue to a two-step nonlinear ordinary differential equation. By solving the differential equation, the expression of the optimal value of the target function was obtained. The study eventually determined the investment strategy with maximum return for the insurance company investment in bond industry. The research results show that optimal investment strategy of insurance company not only depend on the size of the bond market risk, but also on the rate, intensity of the premium income and the claim on bond risk rate of return and so on." @default.
- W2383391751 created "2016-06-24" @default.
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- W2383391751 date "2013-01-01" @default.
- W2383391751 modified "2023-09-23" @default.
- W2383391751 title "Optimal investment in assets of insurance company" @default.
- W2383391751 hasPublicationYear "2013" @default.
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