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| 摘要: |
| 本文在假定资本市场变动与保险公司资本收益变动存在相关性的情况下,研究了保险公司最优再保险策略问题.利用HJB-变分不等方程,获得了最优再保险策略和最小破产概率的显示表达式,推广了文献[3]的结果. |
| 关键词: 随机控制 HJB方程 比例再保险 最优控制策略 |
| DOI： |
| 分类号:O211.6;F224.7 |
| 基金项目:国家自然科学基金资助项目(11361044). |
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| THE OPTIMAL REINSURANCE STRATEGY ASSOCIATED WITH THE CAPITAL MARKET RETURNS CHANGE |
|
MI Li-yang,HU Hua
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| Abstract: |
| Considering the case that there is a correlation between the capital market change and the insurance company capital change, this paper studies the optimal reinsurance strategy problem of insurance company. By using the method of HJB-variations inequalities, we find the explicit expression for optimal control strategy as well as the minimal ruin probability, which generalizes the results of [3]. |
| Key words: stochastic control HJB equation proportional reinsurance optimal control strategy |
