Markov状态转换下的跳扩散风险理论的新模型与新算法

项目名称： Markov状态转换下的跳扩散风险理论的新模型与新算法

项目编号： No.11271222

项目类型： 面上项目

立项/批准年度： 2013

项目学科： 数理科学和化学

项目作者： 叶俊

作者单位： 清华大学

项目金额： 50万元

中文摘要： Markov状态转换下的跳扩散风险模型是目前金融与保险中十分关注的新兴模型,具有重要的理论和应用意义。本项目主要将研究Markov状态转换下的几类新的跳扩散风险模型，并对刻画此类模型的带Markov状态转换的跳扩散方程的数值解理论进行研究。主要内容包括：(1)带线性红利界和不带红利界的Markov转换下的跳扩散风险模型的破产概率、罚函数等刻画、性质研究及相应的模拟分析。(2)研究将盈余资产投资于股票市场和债券市场的带Markov转换下的跳扩散模型的最优投资组合问题，给出合理的优化准则（如最小化破产概率、最大化期望效用等）下最优值函数的HJB方程，通过分析和数值求解研究相应的最优投资策略问题。(3)带Markov状态转换的跳扩散方程的数值解理论的研究，给出几种计算效率高的算法，例如跳适应算法、预估校正法等，研究算法的收敛速度及稳定性，以及相应算法的稳定域，更好地为风险模型的数值模拟提供基础。

中文关键词： Markov状态转换；跳扩散；数值解；稳定性；风险模型

英文摘要： Jump-diffusion risk models with Markovian switching are the new emerging models which have become of great importance to the finance and insurance industry. The main purpose of this project is to establish some new kinds of jump-diffusion risk models with Markovian regime switching, and investigate the numerical solutions of stochastic differential equations (SDEs) with jump and Markovian switching which used to describe the corresponding new risk models. The main focuses in this project include: (1) Researches on the ruin probability and Gerber-Shiu discounted penalty function in jump-diffusion risk model with Markovian switching for whether or not possessing linear dividend barrier. Investigating their properties respectively and giving feasible simulating analysis for some special cases. (2) Discussing the optimal portfolio selection problem for an investor who must invest the surplus into a Markovian-modulated market, which consists of risky and riskless financial assets in the conditions of the jump-diffusion model of the financial market with consideration for a random replacement of the operating regimes of the market. In this subproject, we plan to investigate the corresponding Hamilton-Jacobi-Bellman (HJB) equations under some optimization criterions (for example, minimizing the ruin probability or maxi

英文关键词： Markovian switching；Jump diffusion；Numerical solution；Stability；Risk model