|
| 摘要: |
| 本文研究了具有停止损失再保险和最终值的最优分红和融资策略问题.通过运用近似扩散和动态规划及构造次最优问题的方法，得到了解决一般最优问题所应符合的HJB方程和验证定理.假设有比例和固定交易费用以及在破产时刻产生最终值，得到了相应的最优值函数，最优分红策略，再保险策略以及融资策略. |
| 关键词: 扩散过程 分红与注资 停止损失再保险 期望值原则 最终值 |
| DOI： |
| 分类号:O211.6;O29 |
| 基金项目:Supported by the Natural Science Foundation of China (11301133; 11471218); the Natural Science Foundation of Hebei Province (A2014202236; A2014202052). |
|
| OPTIMAL DIVIDEND AND FINANCING PROBLEMS FOR A DIFFUSION MODEL WITH EXCESS-OF-LOSS REINSURANCE STRATEGY AND TERMINAL VALUE |
|
LI Tong,MA Shi-xia,Han Mi
|
| Abstract: |
| In this paper, we investigate the optimal dividend and financing policies problems with excess-of-loss reinsurance and a terminal value. In our model, by using approximate diffusion and dynamic programming and constructing of suboptimal problems, we obtain the HJB equation satisfied the general optimal problem and verification theorem. Assuming the proportional and fixed transaction costs and the terminal value at bankruptcy, we get the optimal value function, the optimal dividend policy, the optimal reinsurance strategy and the optimal finance strategy. |
| Key words: diffusion process dividend and financing excess-of-loss reinsurance expected value principle terminal value |
