国家教育部博士点基金(SRFDP20100031120002)

作品数：1被引量：8H指数：1
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相关期刊：《Acta Mathematica Sinica,English Series》更多>>
相关主题：INVESTMENTECONOMYCONSTRAINTSSHORT-SELLINGREGIME-SWITCHING更多>>
相关领域：理学经济管理更多>>
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On Optimal Proportional Reinsurance and Investment in a Markovian Regime-Switching Economy被引量：8
《Acta Mathematica Sinica,English Series》2012年第1期67-82,共16页Xin ZHANG Tak Kuen SIU 
supported by National Natural Science Foundation of China (Grant No.11001139);Fundamental Research Funds for the Central Universities (Grant No.65010771);Specialized Research Fund for the Doctoral Program of Higher Education (SRFDP Grant No.20100031120002);the second author is supported by the Discovery Grant from the Australian Research Council (ARC) (Project No.DP1096243)
In this paper, the surplus of an insurance company is modeled by a Markovian regime- switching diffusion process. The insurer decides the proportional reinsurance and investment so as to increase revenue. The regime-s...
关键词：REINSURANCE regime-switching economy optimal investment short-selling constraints 
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