保险公司的一般再保险策略  

GENERAL REINSURANCE POLICIES FOR INSURANCE COMPANY

作　　者：赵守娟[1] 马聪变[1] 

机构地区：[1]新乡学院数学系,河南新乡453002

出　　处：《数学杂志》2010年第4期738-746,共9页Journal of Mathematics

摘　　要：本文在保险公司盈余过程服从Cramer-Lundberg模型时,研究了在破产概率最小限制下一般再保险策略的选择问题.利用动态规划的方法,得到了破产概率满足的HJB方程,并证明了方程解的存在性与识别定理;并对最优策略下的破产概率做了近似估计.特别,当理赔服从指数分布时,对比例再保险得到了破产概率的估计式.In the classic Cramer-Lundberg model,the general reinsurance strategy is introduced,and the HJB equation of ruin probability under the general reinsurance strategy is obtained.By using the method of dynamic programming,the existence of a smooth solution of the corresponding HJB equation and the verification theorem are proved.The martingale optimality principle is applied here to study the asymptotic ruin probabilities under optimal strategies. Asymptotic ruin probabilities and the optimal constant strategy with exponential claims are given.

关 键 词：破产概率 HJB方程 识别定理 比例再保险 

分 类 号：O211.6[理学—概率论与数理统计]