A Diffusion Model for Optimal Dividend Payment and Risk Control for a Firm under Consideration of the Time Value of Ruin  

作　　者：LIU Wei HU Yijun 

机构地区：[1]School of Mathematics and System Science, XinjiangUniversity, Urumqi 830046, Xinjiang, China [2]School of Mathematics and Statistics, Wuhan University,Wuhan 430072, Hubei, China

出　　处：《Wuhan University Journal of Natural Sciences》2010年第5期369-374,共6页武汉大学学报（自然科学英文版）

基　　金：Supported by the National Natural Science Foundation of China (10671149)

摘　　要：In this paper,we investigate a model for an insurance company with constraint on risk control.The objective of the insurer is to find a business policy and a dividend payment scheme so as to maximize the expected discounted value of dividend payment,and the expected present value of an amount which the insurer earns until the time of ruin.By solving the constrained Hamilton-Jacobi-Bellman equation,we obtain the explicit expression for value function and the corresponding optimal strategies.In this paper,we investigate a model for an insurance company with constraint on risk control.The objective of the insurer is to find a business policy and a dividend payment scheme so as to maximize the expected discounted value of dividend payment,and the expected present value of an amount which the insurer earns until the time of ruin.By solving the constrained Hamilton-Jacobi-Bellman equation,we obtain the explicit expression for value function and the corresponding optimal strategies.

关 键 词：diffusion model risk control dividend payment Hamilton-Jacobi-Bellman（HJB） equation optimal policy 

分 类 号：O211.9[理学—概率论与数理统计]