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在有限分红策略及相依风险模型下的最优分红及再保险问题

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摘要 文章讨论了在相依风险模型下的最优分红及再保险问题。假设保险公司承担两种呈负相关的保险业务,并且可以通过比例再保险策略降低破产概率,通过分红策略保持竞争力。同时,利用期望保费准则进行定价。文章的目标是寻找破产前最大期望折现分红策略。利用最优控制理论,给出了在两种保险业务呈负相关时的最优值函数及最优策略的具体表达形式。
作者 杨博
出处 《青年与社会》 2019年第31期143-146,共4页 Young Society
基金 江苏省研究生科研与实践创新计划项目(KYCX18_1386)。
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