[1]孙宗岐,杨鹏,吴静,等.带投资的超额损失再保与障碍分红最优化[J].深圳大学学报理工版,2022,39(6):719-724.[doi:10.3724/SP.J.1249.2022.06719]
 SUN Zongqi,YANG Peng,WU Jing,et al.Optimal excess of loss reinsurance-barrier dividend strategies with investment[J].Journal of Shenzhen University Science and Engineering,2022,39(6):719-724.[doi:10.3724/SP.J.1249.2022.06719]
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带投资的超额损失再保与障碍分红最优化()
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《深圳大学学报理工版》[ISSN:1000-2618/CN:44-1401/N]

卷:
第39卷
期数:
2022年第6期
页码:
719-724
栏目:
数学与应该数学
出版日期:
2022-11-15

文章信息/Info

Title:
Optimal excess of loss reinsurance-barrier dividend strategies with investment
文章编号:
202206014
作者:
孙宗岐杨鹏吴静杨阳
1)西京学院医学院,陕西西安 710123;2)西安财经大学统计学院,陕西西安 710100; 3)西京学院理学院,陕西西安 710123
Author(s):
SUN Zongqi YANG Peng WU Jing YANG Yang
1) School of Medical, Xijing University, Xi’an 710123, Shaanxi Province, P.R.China 2) School of Statistics, Xi’an University of Finance and Economics, Xi’an 710100, Shaanxi Province, P.R.China 3) School of Science, Xijing University, Xi’an, 710123, Shaanxi Province, P.R.China
关键词:
运筹学与控制论风险投资摩擦市场终端残值超额损失再保障碍分红[HJB]方程
Keywords:
operations research and cybernetics risk investment friction market terminal salvage value excess of loss reinsurance barrier dividend HJB equation
分类号:
O211.63;F840.32
DOI:
10.3724/SP.J.1249.2022.06719
文献标志码:
A
摘要:
超额损失再保策略下的最优障碍分红问题迄今鲜有研究.将市场摩擦和终端残值等风险因素与风险资本投资和风险控制策略相结合,研究最优投资-超额损失再保-障碍分红问题.基于动态规划原理建立Hamilton-Jacobi-Bellman方程,通过微分-积分方法求解该方程,获得最优投资-超额损失再保策略和最优障碍分红函数的解析解结构,并证明最优分红界存在的唯一性.
Abstract:
To the best of our knowledge, the optimal barrier dividend problem under excess of loss reinsurance strategy is rarely studied. In this paper, we combine the risk factors, such as market friction and terminal residual value, with risk investment and risk control strategy, and then study the resulting optimal investment-excess of loss reinsurance-barrier dividend problem. By using the dynamic programming principle, we establish the Hamilton-Jacobi-Bellman equation, and obtain the structure of the explicit solutions for the optimal investment-excess of loss reinsurance strategy. The optimal dividend function was solved by applying differential-integral methods. Finally, the existence and uniqueness of the optimal dividend bound is proved.

相似文献/References:

[1]孙宗岐,杨鹏.带投资和障碍分红的破产时刻Laplace变换[J].深圳大学学报理工版,2021,38(2):214.[doi:10.3724/SP.J.1249.2021.02214]
 SUN Zongqi and YANG Peng.The Laplace transform of ruin time with investment and barrier dividend[J].Journal of Shenzhen University Science and Engineering,2021,38(6):214.[doi:10.3724/SP.J.1249.2021.02214]

更新日期/Last Update: 2022-11-30