带约束的Markov-modulated风险模型最优分红和注资策略  

Optimal dividends and capital injections strategy in a Markov-modulated risk model with restricted densities

作　　者：岳毅蒙[1] 

机构地区：[1]商洛学院数学与计算机应用学院,陕西商洛726000

出　　处：《轻工学报》2016年第5期105-108,共4页Journal of Light Industry

基　　金：陕西省自然科学基础研究计划项目(2013JM1023);陕西省教育科学"十二五"规划课题(SGH13406);商洛学院科研项目(15SKY011)

摘　　要：在考虑Markov-modulated风险模型分红约束和交易费用的基础上,以股东的折现分红减去折现注资之差的期望值最大为目标,讨论了模型的最优分红和注资策略问题.由随机控制理论建立HJB方程,得到相应的最优策略为Threshold策略.Considering control of dividends and capital injections of the Markov-modulated risk model with restricted densities and transaction costs,with maximizing the discounted dividend payments minus the penalized discounted capital injections as the goal,the optimal dividends and capital injections strategy was discussed. By stochastic control theory and the Hamilton-Jacobi-Bellman equation,it was derived that the corresponding best strategy was Threshold strategy.

关 键 词：Markov-modulated风险模型随机控制 HJB方程 注资策略 分红策略 

分 类 号：TS01[轻工技术与工程]