比例再保险问题的奇异型最优控制模型  

Singular optimal control models of proportional reinsurance problem

作　　者：袁继红[1] 

机构地区：[1]北京交通大学理学院,北京100044

出　　处：《控制理论与应用》2010年第1期53-58,共6页Control Theory & Applications

基　　金：北京交通大学博士生科技创新基金资助项目(04118299)

摘　　要：在带有股利分配的比例再保险模型的基础上,加入了债务和破产补偿因素,建立了比例再保险问题中一类新的奇异型最优随机控制模型.利用随机分析的方法详尽分析了股利分配、债务和破产补偿因素对保险公司准备金的具体影响,按收益率和偿债率的大小关系得出了不同情形下的最优控制策略及相应的最大收益的显式表达式.Two factors, a constant payment of corporate debts and compensatory payment on the insurance company＇s bankruptcy, are introduced into a proportional reinsurance model with dividend payment, which generates a new class of singular optimal stochastic control models on proportional reinsurance. Effects of the three factors on the company＇s reserve fund are analyzed by virtue of the methods of stochastic analysis. Moreover, optimal control policies and the corresponding maximal yields in different cases are obtained in explicit forms according to the different relations between the income rate and the debts paid per year.

关 键 词：比例再保险 准备金 奇异型随机控制 最优控制策略 

分 类 号：O232[理学—运筹学与控制论]