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机构地区:[1]燕山大学理学院,河北秦皇岛066004 [2]燕山大学里仁学院,河北秦皇岛066004
出 处:《郑州大学学报(理学版)》2015年第2期37-40,共4页Journal of Zhengzhou University:Natural Science Edition
摘 要:基于经典风险模型,对有限分红率下公司分红和注资的最优策略进行了深入研究,以便实现公司风险最小化或者股东净收益最大化的目的.首先根据保险公司的盈余过程推导了值函数V(x)的具体表达式,证明了值函数V(x)具有的某些性质,然后建立V(x)满足的HJB方程,通过对方程的研究得到保险公司最优分红和最优注资策略,并给出了最优注资上限和最优注资下限.最后对公司面临破产风险时是否选择注资以及注资量大小进行了探讨.Based on the classical risk model,the optimal dividend and injection were studied to minimize the risks for the company or maximize the shareholder's profit when the dividend was restricted. Firstly,the surplus process of insurance company was explored,and the value function V( x) was presented. Secondly,some properties of the value function V( x) were examined,then the HJB equations were established. And the optimal dividend and capital injection strategies were found. At the same time,the capital injection boundary was put forward. Finally,whether to inject and the amount of injection were discussed when facing the risk of bankruptcy.
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