带有分红和借贷过程的比例再保险最佳控制模型之推广

Extension of Optimal Control Model for Proportional Reinsurance with Dividend and Borrowing Process

考虑一类带有分红过程和借贷过程的比例再保险模型,为推广其应用,将其费用函数进行了推广,利用随机分析中的最佳控制理论,针对不同的参数得出了不同情形下的最佳控制策略及相应的最大回报函数.

Considering a class of proportional reinsurance model with dividend process and borrowing process, we modify the cost function in order to extending it's application. By using the optimal control policy of stochastic analysis, the optimal control policies and the corresponding maximal return function are obtained for different parameters.