Optimal Control for Insurers with a Jump-diffusion Risk Process  

带跳一扩散风险过程保险人的最优控制（英文）

作　　者：吴锟 肖建武 罗荣华 

机构地区：[1]School of Finance, University of International Business and Economics [2]Canvard College, Beijing Technology and Business University [3]Business School,Central South University of Forestry and Technology [4]School of Economics and Management,Beijing Institute of Graphic Communication

出　　处：《Chinese Quarterly Journal of Mathematics》2015年第4期562-569,共8页数学季刊（英文版）

基　　金：Supported by the Humanity and Social Science Foundation of Ministry of Education of China(10YJC790296);Supported by the National Natural Science Foundation of China(71073020)

摘　　要：In this paper, the optimal XL-reinsurance of an insurer with jump-diffusion risk process is studied. With the assumptions that the risk process is a compound Possion process perturbed by a standard Brownian motion and the reinsurance premium is calculated according to the variance principle, the implicit expression of the priority and corresponding value function when the utility function is exponential are obtained. At last, the value function is argued, the properties of the priority about parameters are discussed and numerical results of the priority for various claim-size distributions are shown.

关 键 词：HJB equation variance principle jump-diffusion process 

分 类 号：O211.6[理学—概率论与数理统计]