扩散风险模型下再保险和投资对红利的影响  

The Impacts of Reinsurance and Investment on the Expected Discounted Dividendin Diffusion Risk Model

作　　者：林祥[1] 杨鹏[1] 

机构地区：[1]中南大学数学学院概率统计研究所,湖南长沙410075

出　　处：《经济数学》2010年第1期1-8,共8页Journal of Quantitative Economics

基　　金：国家自然科学基金资金助项目(10671212;10771216)

摘　　要：对扩散风险模型,研究了比例再保险和投资对红利的影响.在常数边界分红策略下,得到了使得期望贴现红利最大的最优比例再保险和投资策略的显示表达式,并得到最大期望贴现红利的显示表达式.最后,通过数值计算得到了再保险和投资对期望红利的影响,以及最优投资策略与各参数之间的关系.We considered the impact of proportional reinsurance and investment on the expected dividend in the diffusion model. In the constant harrier strategy of dividend payment, the close form expressions for the maximal discounted expected dividend, optimal proportional reinsurance and investment strategy were derived. Finally, we investigated the effects of reinsurance and investment on the discounted expected dividend, and the relationships between the optimal investment strategy and various parameters.

关 键 词：扩散风险模型 边界分红 比例再保险 投资 Hamilton—Jacobi—Bellman方程 

分 类 号：O212.63[理学—概率论与数理统计]