跳–扩散模型下分红投资及超额损失再保险的联合最优策略  

Joint Optimal Strategy for Dividend Investment and Excess-Loss Reinsurance under Jump-Diffusion Model

作　　者：丁丹丹 舒慧生[1] 

机构地区：[1]东华大学,上海

出　　处：《应用数学进展》2019年第11期1775-1782,共8页Advances in Applied Mathematics

摘　　要：本文主要讨论了在跳扩散模型下分红、投资以及超额损失再保险的联合最优策略。不同于以往大多文献仅考虑单个策略,本文的重点是找到这些策略的最优联合,考虑的因素更加全面也更贴合金融市场,但其复杂性和难度也随之增大。本文利用随机最优控制原理,通过拟变分不等式(QVI),给出了再保险安全系数取值变化时对应最优联合策略,推广了现有文献的相应结果。This paper mainly discusses the joint optimal strategy of dividend, investment and excess loss reinsurance under the jump diffusion model. Unlike most previous literatures, which only consider a single strategy, the focus of this paper is to find the optimal combination of these strategies. The factors considered are more comprehensive and more suitable for the financial market, but their complexity and difficulty are also increasing. In this paper, we use the stochastic optimal control principle and the quasi-variational inequality (QVI) to give the corresponding optimal joint strategy when the reinsurance safety factor changes, which promotes the corresponding results of the existing literature.

关 键 词：分红 投资 超额损失再保险 拟变分(QVI) 

分 类 号：F83[经济管理—金融学]