带摩擦-残值的最优投资-超损再保-阈值分红  

Optimal Investment-Excess of Loss Reinsurance-Threshold Dividend Strategies with Terminal Salvage Value in Friction Market

作　　者：孙宗岐 杨鹏 吴静[1] 杨阳 Sun Zongqi;Yang Peng;Wu Jing;Yang Yang(School of Computer Science,Xijing University,Xian 710123,China;School of Statistics,Xi'an University of Finance and Economics,Xian 710100,China)

机构地区：[1]西京学院计算机学院,陕西西安710123 [2]西安财经大学统计学院,陕西西安710100

出　　处：《南开大学学报（自然科学版）》2024年第1期98-105,共8页Acta Scientiarum Naturalium Universitatis Nankaiensis

基　　金：教育部人文社科研究一般项目(21XJC910001);陕西省教育厅自然科学专项基金(20JK0963)。

摘　　要：研究保险公司在摩擦市场中带终端残值的最优风险投资-超额损失再保-阈值分红问题,通过使用动态规划原理得到HJB方程,利用微积分理论分析并求解了最优投资-超额损失再保险策略和最优红利函数.最后在红利贴现率等于0的情形下,求解了最优策略与红利函数的显式解.The optimal investment-excess loss reinsurance-threshold dividend question with terminal salvage value of insurance company in friction market is studied.The HJB equation is obtained by using dynamic programming principle,and the optimal investment-excess loss reinsurance strategies and optimal dividend function are analyzed and solved by using differential calculus theory.Finally,the closed solution of the optimal strategy and dividend function is completely solved in the special case where the dividend discount rate is equal to 0.

关 键 词：摩擦市场 终端残值 超额损失再保 阈值分红 HJB方程 

分 类 号：O211.63[理学—概率论与数理统计]