In this paper, we consider an insurer who wants to maximize its expected utility of terminal wealth by selecting optimal investment and risk control strategies. The insurer’s risk process is modeled by a jump-diffusi...In this paper, we consider an insurer who wants to maximize its expected utility of terminal wealth by selecting optimal investment and risk control strategies. The insurer’s risk process is modeled by a jump-diffusion process and is negatively correlated with the returns of securities and derivatives in the financial market. In the financial model, a part of insurers’ wealth is invested into the financial market. Using a martingale approach, we obtain an explicit solution of optimal strategy for the insurer under logarithmic utility function.展开更多
We study a robust utility maximization problem in the case of incomplete market and logarithmic utility with general stochastic constraints.Our problem is equivalent to the maximization of nonlinear expected logarithm...We study a robust utility maximization problem in the case of incomplete market and logarithmic utility with general stochastic constraints.Our problem is equivalent to the maximization of nonlinear expected logarithmic utility.We characterize the optimal solution using quadratic backward stochastic differential equations.展开更多
A non-orthogonal multiple access(NOMA) power allocation scheme on the basis of the sparrow search algorithm(SSA) is proposed in this work. Specifically, the logarithmic utility function is utilized to address the pote...A non-orthogonal multiple access(NOMA) power allocation scheme on the basis of the sparrow search algorithm(SSA) is proposed in this work. Specifically, the logarithmic utility function is utilized to address the potential fairness issue that may arise from the maximum sum-rate based objective function and the optical power constraints are set considering the non-negativity of the transmit signal, the requirement of the human eyes safety and all users' quality of service(Qo S). Then, the SSA is utilized to solve this optimization problem. Moreover, to demonstrate the superiority of the proposed strategy, it is compared with the fixed power allocation(FPA) and the gain ratio power allocation(GRPA) schemes. Results show that regardless of the number of users considered, the sum-rate achieved by SSA consistently outperforms that of FPA and GRPA schemes. Specifically, compared to FPA and GRPA schemes, the sum-rate obtained by SSA is increased by 40.45% and 53.44% when the number of users is 7, respectively. The proposed SSA also has better performance in terms of user fairness. This work will benefit the design and development of the NOMA-visible light communication(VLC) systems.展开更多
文摘In this paper, we consider an insurer who wants to maximize its expected utility of terminal wealth by selecting optimal investment and risk control strategies. The insurer’s risk process is modeled by a jump-diffusion process and is negatively correlated with the returns of securities and derivatives in the financial market. In the financial model, a part of insurers’ wealth is invested into the financial market. Using a martingale approach, we obtain an explicit solution of optimal strategy for the insurer under logarithmic utility function.
文摘We study a robust utility maximization problem in the case of incomplete market and logarithmic utility with general stochastic constraints.Our problem is equivalent to the maximization of nonlinear expected logarithmic utility.We characterize the optimal solution using quadratic backward stochastic differential equations.
基金supported by the Cooperative Research Project between China Coal Energy Research Institute Co.,Ltd. and Xidian University (No.N-KY-HX-1101-202302-00725)the Key Research and Development Program of Shaanxi Province (No.2017ZDCXL-GY-06-02)。
文摘A non-orthogonal multiple access(NOMA) power allocation scheme on the basis of the sparrow search algorithm(SSA) is proposed in this work. Specifically, the logarithmic utility function is utilized to address the potential fairness issue that may arise from the maximum sum-rate based objective function and the optical power constraints are set considering the non-negativity of the transmit signal, the requirement of the human eyes safety and all users' quality of service(Qo S). Then, the SSA is utilized to solve this optimization problem. Moreover, to demonstrate the superiority of the proposed strategy, it is compared with the fixed power allocation(FPA) and the gain ratio power allocation(GRPA) schemes. Results show that regardless of the number of users considered, the sum-rate achieved by SSA consistently outperforms that of FPA and GRPA schemes. Specifically, compared to FPA and GRPA schemes, the sum-rate obtained by SSA is increased by 40.45% and 53.44% when the number of users is 7, respectively. The proposed SSA also has better performance in terms of user fairness. This work will benefit the design and development of the NOMA-visible light communication(VLC) systems.
