阈值分红策略影响下的最优投资和再保险  

Optimal investment and reinsurance under the influence of threshold dividend

作　　者：张雪芳 金燕生[1] ZHANG Xuefang;JIN Yansheng(College of Science,Yanshan University,Qinhuangdao 066004,China)

机构地区：[1]燕山大学理学院

出　　处：《黑龙江大学自然科学学报》2019年第5期536-543,共8页Journal of Natural Science of Heilongjiang University

基　　金：国家自然科学基金资助项目(11201408);河北省自然科学基金资助项目(A2013203148)

摘　　要：针对跳扩散风险模型,研究使保险公司期望红利最大的最优投资和最优再保险问题。在期望值保费原理以及阈值分红策略下,运用随机最优控制理论和扩散逼近理论得到了满足该模型的HJB方程,最后获得了最优策略、值函数以及分红策略的显示解,并用数值模拟分析了一些参数对最优策略的影响。We study the optimal investment and optimal reinsurance problem to maximize the expected dividend of an insurance company in jump diffusion rick model.Under the expected premium principle and the threshold dividend policy,the HJB equation satisfying the model is obtained by using stochastic optimal control theory and diffusion approximation theory,and then explicit solutions of optimal policy,value function and dividend policy are obtained.Finally,we carry out numerical simulation and analyze the influence of some parameters on the optimal policy.

关 键 词：红利 再保险 投资 跳扩散模型 扩散逼近 

分 类 号：O211.6[理学—概率论与数理统计]