摘要
针对一类带投资-超额索赔再保险的风险模型,考虑保险公司的破产问题.以公司盈余达到某个下界定义破产,将破产概率作为值函数,针对扩散渐近模型,建立了最优值函数的Hamilton-Jacob-Bellman(HJB)方程,通过区分控制区域,分别进行求解,得到了对应的最优投资和最优再保险策略,并给出了最优值函数的显示解.
The ruin of an insurance company is considered for a kind of risk model with investment and excess-claim reinsurance.The concepts of ruin is defined that the surplus reaches some lower bound,and the ruin probability is taken as value function.TheHamilton-Jacob-Bellman(HJB)equation of the optimal value function is derived for the diffusion approximationmodel.By distinguishing the control areas and solving equation separately,the optimal strategy of investment and reinsurance is derived and the explicit expression of the optimal value function is obtained.
作者
曹琪
王秀莲
CAO Qi;WANG Xiulian(College of Mathematical Science,Tianjin Normal University,Tianjin 300387,China)
出处
《天津师范大学学报（自然科学版）》
CAS
北大核心
2021年第2期15-18,共4页
Journal of Tianjin Normal University：Natural Science Edition
基金
天津市教育委员会科研基金资助项目(JW1714).
