摘要
主要考虑一类带红利和税收的比例再保险盈余模型.以直到破产时红利的累积折现最大化为目标,其值函数为红利的累积折现,红利折现率为时间的函数.推导了相应值函数满足的一类HJB方程,同时对红利和再保险最优控制策略进行了分析.
This paper investigates a class of proportional reinsurance surplus model with dividend process and taxes. The insurer＇s objective is to maximize the expected value of future,until ruin time,discounted dividend payments. This paper assumes that the discounted rate is fluctuating. The HJB equation of the insurer＇s value function is derived. The optimal control policy on dividend and reinsurance is discussed.
基金
教育部科学技术重点研究基金资助项目(205073)
安徽省教育厅自然科学基金资助项目(2005kj209)
安徽工程科技学院青年科研基金资助项目(2007yq002zd)
关键词
变折现率
红利过程
比例再保险
税收
HJB方程
fluctuated discounting rate
dividend process
proportional reinsurance
taxes
HJB equation
