The Optimal Investment,Liability and Dividends in Insurance  

作　　者：Ping-Jin Deng Xiu-Fang Li Xiao-Wei Chen 

机构地区：[1]School of Finance,Collaborative Innovation Center for China Economy,Nankai University,Tianjin 300071,China

出　　处：《Journal of the Operations Research Society of China》2021年第2期395-409,共15页中国运筹学会会刊（英文）

基　　金：This work was supported by the National Natural Sciences Foundation of China(Nos.71573143 and 61673225);This work was also supported by the Fundamental Research Funds for the Central Universities.

摘　　要：In this paper,we build an optimal control model with the objective to maximize the expected value of the time discount utility by selecting optimal investment,liability and dividend strategies for insurance companies.We then use the techniques from Merton(J Econ Theory 3(4):373–413,1971)to solve our optimal control problem and deduce the optimal control solutions.Finally,we analyze the economic impacts on the optimal controls of the parameters in insurance market.

关 键 词：Asset and liability management Optimal dividends HJB equation 

分 类 号：F832.51[经济管理—金融学]